Applications of band-limited extrapolation to forecasting of weather and financial time series

Nicholas James Rowe

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arXiv · 1902.09501

Applications of band-limited extrapolation to forecasting of weather and financial time series

Nicholas James Rowe

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Abstract

This paper describes the practical application of causal extrapolation of sequences for the purpose of forecasting. The methods and proofs have been applied to simulations to measure the range which data can be accurately extrapolated. Real world data from the Australian Stock exchange and the Australian Bureau of Meteorology have been tested and compared with simple linear extrapolation of the same data. In a majority of the tested scenarios casual extrapolation has been proved to be the more effective forecaster.

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Nicholas James Rowe. 2019-02-15. Applications of band-limited extrapolation to forecasting of weather and financial time series. https://arxiv.org/abs/1902.09501

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