Forecasting for Discrete Time Processes based on Causal Band-limited Approximation

Nikolai Dokuchaev

Abstract

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 problem and obtain some conditions of solvability and uniqueness. An unique extrapolation to future times of the optimal approximating band-limited process can be interpreted as an optimal forecast.

References

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Paper Citation


in Harvard Style

Dokuchaev N. (2013). Forecasting for Discrete Time Processes based on Causal Band-limited Approximation . In Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES, ISBN 978-989-8565-40-2, pages 82-85. DOI: 10.5220/0004243700820085


in Bibtex Style

@conference{icores13,
author={Nikolai Dokuchaev},
title={Forecasting for Discrete Time Processes based on Causal Band-limited Approximation},
booktitle={Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,},
year={2013},
pages={82-85},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004243700820085},
isbn={978-989-8565-40-2},
}


in EndNote Style

TY - CONF
JO - Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems - Volume 1: ICORES,
TI - Forecasting for Discrete Time Processes based on Causal Band-limited Approximation
SN - 978-989-8565-40-2
AU - Dokuchaev N.
PY - 2013
SP - 82
EP - 85
DO - 10.5220/0004243700820085