On predictors for band-limited and high-frequency time series

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On predictors for band-limited and high-frequency time series

Pathwise predictability and predictors for discrete time processes are studied in deterministic setting. It is suggested to approximate convolution sums over future times by convolution sums over past time. It is shown that all band-limited processes are predictable in this sense, as well as high-fr...

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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Elsevier BV 2012
Subjects:	non-parametric forecast z-transform band-limited processes spectral methods prediction low-pass filters
Online Access:	http://hdl.handle.net/20.500.11937/33373

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