Forecasting for discrete time processes based on causal band-limited approximation
We study causal dynamic smoothing of discrete time processes via approximation by band-limited discrete time processes. More precisely, a part of the historical path of the underlying process is approximated in Euclidean norm by the trace of a band-limited process. We analyze related optimization pr...
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| Format: | Conference Paper |
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SCITEPRESS – Science and Technology Publications
2013
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| Online Access: | http://hdl.handle.net/20.500.11937/13224 |
| Summary: | We study causal dynamic smoothing of discrete time processes via approximation by band-limited discrete time processes. More precisely, a part of the historical path of the underlying process is approximated in Euclidean norm by the trace of a band-limited process. We analyze related optimization problem and obtain some conditions of solvability and uniqueness. An unique extrapolation to future times of the optimal approximating band-limited process can be interpreted as an optimal forecast. |
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