Characteristic roots govern dynamics in linear forecasting models but noise induces spurious roots; rank reduction and Root Purge regularization mitigate this for more robust predictions.
A new analysis technique for time series data
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Characteristic Root Analysis and Regularization for Linear Time Series Forecasting
Characteristic roots govern dynamics in linear forecasting models but noise induces spurious roots; rank reduction and Root Purge regularization mitigate this for more robust predictions.