On the predictability of long-range dependent series (Q966347): Difference between revisions
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| English | On the predictability of long-range dependent series |
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On the predictability of long-range dependent series (English)
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23 April 2010
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Summary: This paper points out that the predictability analysis of conventional time series may in general be invalid for long-range dependent (LRD) series since the conventional mean-square error (MSE) may generally not exist for predicting LRD series. To make the MSE of LRD series prediction exist, we introduce a generalized MSE. With that, the proof of the predictability of LRD series is presented in a Hilbert space.
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