Reconstructing latent dynamical noise for better forecasting observables.

I propose a method for reconstructing multi-dimensional dynamical noise inspired by the embedding theorem of Muldoon et al. [Dyn. Stab. Syst. 13, 175 (1998)] by regarding multiple predictions as different observables. Then, applying the embedding theorem by Stark et al. [J. Nonlinear Sci. 13, 519 (2003)] for a forced system, I produce time series forecast by supplying the reconstructed past dynamical noise as auxiliary information. I demonstrate the proposed method on toy models driven by auto-regressive models or independent Gaussian noise.