Predictability on Finite Horizon for Processes with Exponential Decrease of Energy on Higher Frequencies

Signal processing, Vol. 90, No. 2, pp. 696-701, February 2010

Posted: 6 Nov 2009

See all articles by Nikolai Dokuchaev

Nikolai Dokuchaev

Zhejiang University/University of Illinois at Urbana-Champaign Institute

Date Written: November 3, 2009

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.

Keywords: nonparametric methods, spectral analysis, forecasting

JEL Classification: C53

Suggested Citation

Dokuchaev, Nikolai, Predictability on Finite Horizon for Processes with Exponential Decrease of Energy on Higher Frequencies (November 3, 2009). Signal processing, Vol. 90, No. 2, pp. 696-701, February 2010, Available at SSRN: https://ssrn.com/abstract=1499283

Nikolai Dokuchaev (Contact Author)

Zhejiang University/University of Illinois at Urbana-Champaign Institute ( email )

Haining
Zhejiang
China

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