On causal extrapolation of sequences with applications to forecasting

Nikolai Dokuchaev

Applied Mathematics and Computation, 2018, vol. 328, issue C, 276-286

Abstract: 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.

Keywords: Smooth sequences; Extrapolation; Frequency analysis; Forecasting (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:apmaco:v:328:y:2018:i:c:p:276-286

DOI: 10.1016/j.amc.2018.01.038

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