Prediction of fractional processes with long-range dependence (Q431593)
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scientific article; zbMATH DE number 6051234
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| English | Prediction of fractional processes with long-range dependence |
scientific article; zbMATH DE number 6051234 |
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Prediction of fractional processes with long-range dependence (English)
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29 June 2012
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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.
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prediction coefficients
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fractional Brownian motion
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long-range dependence
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0.91849285
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0.90314054
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0.89433885
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0.8841909
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