Predictors for discrete time processes with energy decay on higher frequencies

Nikolai Dokuchaev

doi:10.1109/TSP.2012.2212436

paper

Predictors for discrete time processes with energy decay on higher frequencies

arXiv:1112.1478 · doi:10.1109/TSP.2012.2212436

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.

5 pages

References in corpus (2)

On predictors for band-limited and high-frequency time series
Predictability of band-limited, high-frequency, and mixed processes in the presence of ideal low-pass filters

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