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    Forecasting for discrete time processes based on causal band-limited approximation

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    Fulltext not available
    Authors
    Dokuchaev, Nikolai
    Date
    2013
    Type
    Conference Paper
    
    Metadata
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    Citation
    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).
    Source Title
    ICORES 2013. Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems
    Source Conference
    ICORES 2013: 2nd International Conference on Operations Research and Enterprise Systems
    ISBN
    978-989-8565-40-2
    URI
    http://hdl.handle.net/20.500.11937/13224
    Collection
    • Curtin Research Publications
    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.

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