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arXiv · 2308.02175

A Koopman-Takens theorem: Linear least squares prediction of nonlinear time series

Péter Koltai·Philipp Kunde
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Abstract

The least squares linear filter, also called the Wiener filter, is a popular tool to predict the next element(s) of time series by linear combination of time-delayed observations. We consider observation sequences of deterministic dynamics, and ask: Which pairs of observation function and dynamics are predictable? If one allows for nonlinear mappings of time-delayed observations, then Takens' well-known theorem implies that a set of pairs, large in a specific topological sense, exists for which an exact prediction is possible. We show that a similar statement applies for the linear least squares filter in the infinite-delay limit, by considering the forecast problem for invertible measure-preserving maps and the Koopman operator on square-integrable functions.

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Péter Koltai, Philipp Kunde. 2023-08-04. A Koopman-Takens theorem: Linear least squares prediction of nonlinear time series. https://arxiv.org/abs/2308.02175

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