Mean square prediction error for long-memory processes (Q1402928): Difference between revisions

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+https://doi.org/10.1007/s00362-002-0095-x
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+W2090667436
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+Asymptotic prediction mean squared error for vector autoregressive models
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+A comparison of techniques of estimation in long-memory processes.
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+Time series: theory and methods.
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+Stationary persistent time series misspecified as nonstationary arima
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+Modeling volatility persistence of speculative returns: a new approach
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+Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
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+AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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+Fractional differencing
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+ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
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+MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
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+Prediction mean square error for non-stationary multivariate time series using estimated parameters
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