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Author: Nikolai Dokuchaev

Affiliation: Curtin University, Australia

Keyword(s): Band-limited Processes, Discrete Time Processes, Causal Filters, Low-pass Filters, Forecasting.

Related Ontology Subjects/Areas/Topics: Forecasting ; Methodologies and Technologies ; Operational Research

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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Paper citation in several formats:
Dokuchaev, N. (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; ISBN 978-989-8565-40-2; ISSN 2184-4372, SciTePress, pages 82-85. DOI: 10.5220/0004243700820085

@conference{icores13,
author={Nikolai Dokuchaev.},
title={Forecasting for Discrete Time Processes based on Causal Band-limited Approximation},
booktitle={Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems - ICORES},
year={2013},
pages={82-85},
publisher={SciTePress},
organization={INSTICC},
doi={10.5220/0004243700820085},
isbn={978-989-8565-40-2},
issn={2184-4372},
}

TY - CONF

JO - Proceedings of the 2nd International Conference on Operations Research and Enterprise Systems - ICORES
TI - Forecasting for Discrete Time Processes based on Causal Band-limited Approximation
SN - 978-989-8565-40-2
IS - 2184-4372
AU - Dokuchaev, N.
PY - 2013
SP - 82
EP - 85
DO - 10.5220/0004243700820085
PB - SciTePress