Predictors for time series with energy decay on higher frequencies

Details Predictors for time series with energy decay on higher frequencies Predictors for time series with energy decay on higher frequencies

2011-12-07

arxiv.org/abs/1112.1478v2

Mathematics

Optimization and Control

6 pages

Scientific paper

Pathwise predictability and predictors are studied in deterministic setting
for discrete time processes. A family of one step predictor is suggested for
processes with energy decay on higher frequencies. For these processes, the
prediction error can be made arbitrarily small.

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