Mean square prediction error for long-memory processes

DOI10.1007/s00362-002-0095-xzbMath1017.62084MaRDI QIDQ1402928

Silvano Bordignon, Luisa Bisaglia

Publication date: 31 August 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0095-x

zbMATH Keywords

long-range dependence; misspecification; mean square prediction error; fractional ARIMA(p,d,q) processes; long-range forecasting

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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