Predictors for Discrete Time Processes With Energy Decay on Higher Frequencies

DOI10.1109/TSP.2012.2212436zbMATH Open1393.94215arXiv1112.1478MaRDI QIDQ4574142FDOQ4574142

Authors: Nikolai Dokuchaev 

Publication date: 18 July 2018

Published in: IEEE Transactions on Signal Processing (Search for Journal in Brave)

Abstract: The predictability of discrete-time processes is studied in a deterministic setting. A family of one-step-ahead predictors is suggested for processes of which the energy decays at higher frequencies. For such processes, the prediction error can be made arbitrarily small. The predictions can be robust with respect to the noise contamination at higher frequencies.

Full work available at URL: https://arxiv.org/abs/1112.1478

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Cited In (6)

• Near-ideal predictors and causal filters for discrete-time signals
• On causal extrapolation of sequences with applications to forecasting
• On linear weak predictability with single point spectrum degeneracy
• Spectral representation of two-sided signals from \(\ell_\infty\) and applications to signal processing
• On statistical indistinguishability of complete and incomplete discrete time market models
• Predictability on finite horizon for processes with exponential decrease of energy on higher frequencies

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