On causal extrapolation of sequences with applications to forecasting
The paper suggests a method of extrapolation of notion of one-sided semi-infinite sequences representing traces of two-sided band-limited sequences; this features ensure uniqueness of this extrapolation and possibility to use this for forecasting. This lead to a forecasting method for more general s...
| Main Author: | |
|---|---|
| Format: | Journal Article |
| Published: |
Elsevier Inc.
2018
|
| Online Access: | http://hdl.handle.net/20.500.11937/66221 |
| _version_ | 1848761268236713984 |
|---|---|
| author | Dokuchaev, Nikolai |
| author_facet | Dokuchaev, Nikolai |
| author_sort | Dokuchaev, Nikolai |
| building | Curtin Institutional Repository |
| collection | Online Access |
| description | The paper suggests a method of extrapolation of notion of one-sided semi-infinite sequences representing traces of two-sided band-limited sequences; this features ensure uniqueness of this extrapolation and possibility to use this for forecasting. This lead to a forecasting method for more general sequences without this feature based on minimization of the mean square error between the observed path and a predicable sequence. These procedure involves calculation of this predictable path; the procedure can be interpreted as causal smoothing. The corresponding smoothed sequences allow unique extrapolations to future times that can be interpreted as optimal forecasts. |
| first_indexed | 2025-11-14T10:28:58Z |
| format | Journal Article |
| id | curtin-20.500.11937-66221 |
| institution | Curtin University Malaysia |
| institution_category | Local University |
| last_indexed | 2025-11-14T10:28:58Z |
| publishDate | 2018 |
| publisher | Elsevier Inc. |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | curtin-20.500.11937-662212018-07-09T03:18:53Z On causal extrapolation of sequences with applications to forecasting Dokuchaev, Nikolai The paper suggests a method of extrapolation of notion of one-sided semi-infinite sequences representing traces of two-sided band-limited sequences; this features ensure uniqueness of this extrapolation and possibility to use this for forecasting. This lead to a forecasting method for more general sequences without this feature based on minimization of the mean square error between the observed path and a predicable sequence. These procedure involves calculation of this predictable path; the procedure can be interpreted as causal smoothing. The corresponding smoothed sequences allow unique extrapolations to future times that can be interpreted as optimal forecasts. 2018 Journal Article http://hdl.handle.net/20.500.11937/66221 10.1016/j.amc.2018.01.038 Elsevier Inc. restricted |
| spellingShingle | Dokuchaev, Nikolai On causal extrapolation of sequences with applications to forecasting |
| title | On causal extrapolation of sequences with applications to forecasting |
| title_full | On causal extrapolation of sequences with applications to forecasting |
| title_fullStr | On causal extrapolation of sequences with applications to forecasting |
| title_full_unstemmed | On causal extrapolation of sequences with applications to forecasting |
| title_short | On causal extrapolation of sequences with applications to forecasting |
| title_sort | on causal extrapolation of sequences with applications to forecasting |
| url | http://hdl.handle.net/20.500.11937/66221 |