Forecasting Graph Signals with Recursive MIMO Graph Filters
- URL: http://arxiv.org/abs/2210.15258v1
- Date: Thu, 27 Oct 2022 08:25:31 GMT
- Title: Forecasting Graph Signals with Recursive MIMO Graph Filters
- Authors: Jelmer van der Hoeven, Alberto Natali and Geert Leus
- Abstract summary: Forecasting time series on graphs is a fundamental problem in graph signal processing.
Existing approaches resort to the use of product graphs to combine this multidimensional information, at the expense of creating a larger graph.
In this paper, we show the limitations of such approaches, and propose extensions to tackle them.
- Score: 24.003433487241246
- License: http://creativecommons.org/licenses/by/4.0/
- Abstract: Forecasting time series on graphs is a fundamental problem in graph signal
processing. When each entity of the network carries a vector of values for each
time stamp instead of a scalar one, existing approaches resort to the use of
product graphs to combine this multidimensional information, at the expense of
creating a larger graph. In this paper, we show the limitations of such
approaches, and propose extensions to tackle them. Then, we propose a recursive
multiple-input multiple-output graph filter which encompasses many already
existing models in the literature while being more flexible. Numerical
simulations on a real world data set show the effectiveness of the proposed
models.
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