Prediction of fractional processes with long-range dependence (Q431593): Difference between revisions

A class of Gaussian processes with stationary increments which exhibit long-range dependence is considered. This class includes fractional Brownian motion with the Hurst parameter \(H>1/2\) as a typical example. Infinite and finite past prediction formulae are established for the processes in which the predictor coefficients are given explicitly in terms of the \(MA(\infty)\) and \(AR(\infty)\) coefficients.