Forecasting for discrete time processes based on causal band-limited approximation

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Other Authors:	Begoña Vitoriano
Format:	Conference Paper
Published:	SCITEPRESS – Science and Technology Publications 2013
Subjects:	band-limited processes causal filters forecasting discrete time processes low-pass filters
Online Access:	http://hdl.handle.net/20.500.11937/13224

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