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, this predictability can be achieved uniformly over classes of processes. Some explicit formulas for predictors are suggested

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Year of publication:	2014
Authors:	Dokuchaev, Nikolai
Publisher:	[S.l.] : SSRN
Subject:	Prognoseverfahren \| Forecasting model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Signal processing, Vol. 90, No. 2, pp. 696-701, February 2010 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 3, 2009 erstellt Volltext nicht verfügbar
Classification:	C53 - Forecasting and Other Model Applications
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014201511