MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION

DOI10.1111/j.1467-9892.1993.tb00161.xzbMath0779.62088OpenAlexW2021879483MaRDI QIDQ4272771

Bonnie K. Ray

Publication date: 19 January 1994

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00161.x

zbMATH Keywords

simulationlong-range dependencefinite sample sizeapproximating \(\text{AR}(p)\) modelasymptotic \(k\)-step-ahead prediction errorfractional noise modelfractionally differenced noise processlong-memory datalong-range forecasting accuracy

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Statistical tables (62Q05)

Related Items (16)

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Cites Work

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• Parameter estimation in low order fractionally differenced ARMA processes
• Forecasting with Misspecified Models
• Fractional Brownian Motions, Fractional Noises and Applications

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