Forecasting for discrete time processes based on causal band-limited approximation
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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.
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Dokuchaev, Nikolai. 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 (ICORES 2013), Feb 16-18 2013, pp. 82-85. Barcelona, Spain: Institute for Systems and Technologies of Information, Control and Communication (INSTICC).
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ICORES 2013. Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems
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