Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies
Optimization and Control
2010-03-17 v3 Functional Analysis
Abstract
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.
Cite
@article{arxiv.0811.2623,
title = {Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:0811.2623},
year = {2010}
}
Comments
11 pages