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

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

Authors Nikolai Dokuchaev 

Publication date 8 January 2010

Published in Signal Processing (Search for Journal in Brave)

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

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)

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.

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Cites work

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• The predictability of band-limited, high-frequency and mixed processes in the presence of ideal low-pass filters

Cited in

(4)

• On causal extrapolation of sequences with applications to forecasting
• 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
• Mutual fund theorem for continuous time markets with random coefficients

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