Geodesic
Prediction of multidimensional time series by method of inverse spectral problem
Journal of computational and engineering mathematics, Tome 9 (2022) no. 1, pp. 35-42

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The paper develops a new method for predicting time series by the inverse spectral problem. We show that it is possible to construct a differential operator such that its eigenvalues coincide with a given numerical sequence. The paper gives a theoretical justification of the proposed method. The algorithm for finding a solution and an example of constructing a differential operator with partial derivatives are given. In this paper, we present a generalization in the case of multidimensional time series.
Keywords: Laplace operator, inverse spectral problem, eigenvalues, time series. 
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     author = {A. I. Sedov},
     title = {Prediction of multidimensional time series by method of inverse spectral problem},
     journal = {Journal of computational and engineering mathematics},
     pages = {35--42},
     publisher = {mathdoc},
     volume = {9},
     number = {1},
     year = {2022},
     language = {en},
     url = {http://geodesic.mathdoc.fr/item/JCEM_2022_9_1_a3/}
}
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A. I. Sedov. Prediction of multidimensional time series by method of inverse spectral problem. Journal of computational and engineering mathematics, Tome 9 (2022) no. 1, pp. 35-42. http://geodesic.mathdoc.fr/item/JCEM_2022_9_1_a3/