Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies
The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some finite time horizon defined by the rate of decay. Moreover, th...
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| Format: | Journal Article |
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Elsevier BV
2010
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| Online Access: | http://hdl.handle.net/20.500.11937/9261 |
| Summary: | The paper presents sufficient conditions of predictability for continuous time processes in deterministic setting. We found that processes with exponential decay on energy for higher frequencies are predictable in some weak sense on some finite time horizon defined by the rate of decay. Moreover, this predictability can be achieved uniformly over classes of processes. Some explicit formulas for predictors are suggested. |
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