MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION (Q4272771)
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scientific article; zbMATH DE number 472911
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| English | MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION |
scientific article; zbMATH DE number 472911 |
Statements
MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION (English)
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19 January 1994
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long-range dependence
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fractionally differenced noise process
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approximating \(\text{AR}(p)\) model
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long-range forecasting accuracy
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fractional noise model
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asymptotic \(k\)-step-ahead prediction error
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finite sample size
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simulation
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long-memory data
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0.8105120062828064
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0.7997545003890991
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0.7818281650543213
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0.7818145751953125
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0.7743722200393677
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