Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies

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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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Bibliographic Details
Main Author:	Dokuchaev, Nikolai
Format:	Journal Article
Published:	Elsevier BV 2010
Subjects:	forecasting spectral analysis nonparametric methods
Online Access:	http://hdl.handle.net/20.500.11937/9261

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