Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies

DOI10.1016/J.SIGPRO.2009.07.025zbMATH Open1177.94115arXiv0811.2623OpenAlexW2033076966MaRDI QIDQ1048879FDOQ1048879

Authors: Nikolai Dokuchaev 

Publication date: 8 January 2010

Published in: Signal Processing (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/0811.2623

Recommendations

• Predictors for Discrete Time Processes With Energy Decay on Higher Frequencies
• Nonlinear finite-time Lyapunov exponent and predictability
• Predictability of chaotic dynamics. A finite-time Lyapunov exponents approach
• Predictability of chaotic dynamics. A finite-time Lyapunov exponents approach
• Existence of moments of increasing predictable processes associated with one- and two-parameter potentials
• Predictability in the large: an extension of the concept of Lyapunov exponent
• Nearly unstable processes: a prediction perspective
• Predictability of threshold exceedances in dynamical systems
• Predictability of operational processes over finite horizon

zbMATH Keywords

forecastingnonparametric methodsspectral analysis

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Sampling theory in information and communication theory (94A20)

Cites Work

• Prolate Spheroidal Wave Functions, Fourier Analysis, and Uncertainty-V: The Discrete Case
• Title not available (Why is that?)
• Title not available (Why is that?)
• Bounds for truncation error in sampling expansions of band-limited signals
• Error-Free Recovery of Signals from Irregularly Spaced Samples
• The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters
• Linear prediction of bandlimited processes with flat spectral densities
• Interpolation of band-limited functions using the approximate prolate series (Corresp.)
• Title not available (Why is that?)

Cited In (4)

• On causal extrapolation of sequences with applications to forecasting
• Mutual fund theorem for continuous time markets with random coefficients
• Predictability of operational processes over finite horizon
• The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters

This page was built for publication: Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1048879)