On causal extrapolation of sequences with applications to forecasting
Optimization and Control
2018-02-08 v9 Statistics Theory
Statistics Theory
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.
Cite
@article{arxiv.1208.3278,
title = {On causal extrapolation of sequences with applications to forecasting},
author = {Nikolai Dokuchaev},
journal= {arXiv preprint arXiv:1208.3278},
year = {2018}
}
Comments
arXiv admin note: substantial text overlap with arXiv:1111.6701