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On Causal Extrapolation of Sequences with Applications to Forecasting by Dokuchaev, Nikolai is a scholarly article available to read on EtoBox.

What is On Causal Extrapolation of Sequences with Applications to Forecasting about?

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.

Author

Dokuchaev, Nikolai

Published

2012

Language

EN