Can Non-linear regression be used for time series forecasting?

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Ehsan na 2016-1-14

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评论： jgg 2016-1-18

Hey,

Matlab has an example on analyzing a sample time series: Airline passenger data ( link ). In the end of the page, the presented code works very well in incorporating the most relevant information from the input data in constructing a non-linear regression model.

My question is can I use the created model to predict the future data? How?

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jgg 2016-1-14

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在 MATLAB Online 中打开

The short answer is yes. At this point in the example:

[b,bint,resid] = regress(logts.data, X);

They've returned a set of coefficients for the independent variables in X. When they plot the fitted data they do the following: X*b.

You can do the same for future, or out of sample data. Set up a new matrix X_f which is the dependent variables for the future times, whatever those might be; in their example it would be time and month dummies. Then, get the predicted values Y_f = X_f*b.