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 |
| _version_ | 1848748290698379264 |
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| author | Dokuchaev, Nikolai |
| author2 | Begoña Vitoriano |
| author_facet | Begoña Vitoriano Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | 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. |
| first_indexed | 2025-11-14T07:02:42Z |
| format | Conference Paper |
| id | curtin-20.500.11937-13224 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T07:02:42Z |
| publishDate | 2013 |
| publisher | SCITEPRESS – Science and Technology Publications |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-132242023-02-07T08:01:25Z Forecasting for discrete time processes based on causal band-limited approximation Dokuchaev, Nikolai Begoña Vitoriano Fernando Valente band-limited processes causal filters forecasting discrete time processes low-pass filters 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. 2013 Conference Paper http://hdl.handle.net/20.500.11937/13224 SCITEPRESS – Science and Technology Publications restricted |
| spellingShingle | band-limited processes causal filters forecasting discrete time processes low-pass filters Dokuchaev, Nikolai Forecasting for discrete time processes based on causal band-limited approximation |
| title | Forecasting for discrete time processes based on causal band-limited approximation |
| title_full | Forecasting for discrete time processes based on causal band-limited approximation |
| title_fullStr | Forecasting for discrete time processes based on causal band-limited approximation |
| title_full_unstemmed | Forecasting for discrete time processes based on causal band-limited approximation |
| title_short | Forecasting for discrete time processes based on causal band-limited approximation |
| title_sort | forecasting for discrete time processes based on causal band-limited approximation |
| topic | band-limited processes causal filters forecasting discrete time processes low-pass filters |
| url | http://hdl.handle.net/20.500.11937/13224 |