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    On causal extrapolation of sequences with applications to forecasting

    Access Status
    Fulltext not available
    Authors
    Dokuchaev, Nikolai
    Date
    2018
    Type
    Journal Article
    
    Metadata
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    Citation
    Dokuchaev, N. 2018. On causal extrapolation of sequences with applications to forecasting. Applied Mathematics and Computation. 328: pp. 276-286.
    Source Title
    Applied Mathematics and Computation
    DOI
    10.1016/j.amc.2018.01.038
    ISSN
    0096-3003
    School
    School of Electrical Engineering, Computing and Mathematical Science (EECMS)
    URI
    http://hdl.handle.net/20.500.11937/66221
    Collection
    • Curtin Research Publications
    Abstract

    The paper suggests a method of extrapolation of notion of one-sided semi-infinite sequences representing traces of two-sided band-limited sequences; this features ensure uniqueness of this extrapolation and possibility to use this for forecasting. This lead to a forecasting method for more general sequences without this feature based on minimization of the mean square error between the observed path and a predicable sequence. These procedure involves calculation of this predictable path; the procedure can be interpreted as causal smoothing. The corresponding smoothed sequences allow unique extrapolations to future times that can be interpreted as optimal forecasts.

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