Optimal data recovery and forecasting with dummy long-horizon forecasts

Abstract

The paper suggests a method of recovering missing values for sequences, including sequences with a multidimensional index, based on optimal approximation by processes featuring spectrum degeneracy. The problem is considered in the pathwise setting, without using probabilistic assumptions on the ensemble. The method requires to solve a closed linear equation connecting the available observations of the underlying process with the values of the approximating process with degenerate spectrum outside the observation range.Some robustness with respect to noise contamination is established for the suggested recovering algorithm. It is suggested to apply this data recovery algorithm to forecasting with a preselected dummy long-horizon forecast that helps to regularize the solution.