IDEAS home Printed from https://ideas.repec.org/a/eee/apmaco/v328y2018icp276-286.html
   My bibliography  Save this article

On causal extrapolation of sequences with applications to forecasting

Author

Listed:
  • Dokuchaev, Nikolai

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.

Suggested Citation

  • Dokuchaev, Nikolai, 2018. "On causal extrapolation of sequences with applications to forecasting," Applied Mathematics and Computation, Elsevier, vol. 328(C), pages 276-286.
    • Handle: RePEc:eee:apmaco:v:328:y:2018:i:c:p:276-286
    DOI: 10.1016/j.amc.2018.01.038
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0096300318300596
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.amc.2018.01.038?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Sergey O. Chikunov & Vadim V. Ponkratov & Alexander A. Sokolov & Andrey S. Pozdnyaev & Irina V. Osinovskaya & Marina I. Ivleva, 2019. "Financial Risks of Russian Oil Companies in Conditions of Volatility of Global Oil Prices," International Journal of Energy Economics and Policy, Econjournals, vol. 9(3), pages 18-29.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:apmaco:v:328:y:2018:i:c:p:276-286. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: https://www.journals.elsevier.com/applied-mathematics-and-computation .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.