MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION

DOI10.1111/J.1467-9892.1993.TB00161.XMaRDI QIDQ4272771zbMATH OpenOpenAlexFDO

Authors B. 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

approximating \(\text{AR}(p)\) modelasymptotic \(k\)-step-ahead prediction errorfinite sample sizefractional noise modelfractionally differenced noise processlong-memory datalong-range dependencelong-range forecasting accuracysimulation

Mathematics Subject Classification ID

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

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Cites work

• Forecasting with Misspecified Models
• Fractional Brownian Motions, Fractional Noises and Applications
• scientific article; zbMATH DE number 193976 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Parameter estimation in low order fractionally differenced ARMA processes

Cited in

(29)

• Some simulations and applications of forecasting long-memory time-series models
• An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series
• Asymptotically efficient autoregressive model selection for multistep prediction
• Mean square prediction error for long-memory processes
• Optimal prediction with memory
• Fractionally differenced Gegenbauer processes with long memory: a review
• State space modeling of Gegenbauer processes with long memory
• Stationary persistent time series misspecified as nonstationary arima
• A nonlinear long memory model, with an application to US unemployment.
• Long memory processes and fractional integration in econometrics
• Forecasting long memory time series when occasional breaks occur
• Fractional Lévy stable motion: finite difference iterative forecasting model
• Infinite variance stable Gegenbauer ARFISMA models
• An approximate fractional Gaussian noise model with \(\mathcal{O}(n)\) computational cost
• Convex combinations of long memory estimates from different sampling rates
• Prediction and tracking of long-range-dependent sequences
• Long memory random fields
• Prediction of Long-Range Dependent Time Series Data with Performance Guarantee
• scientific article; zbMATH DE number 1069580 (Why is no real title available?)
• Indirect inference for fractional time series models
• A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION
• scientific article; zbMATH DE number 2060187 (Why is no real title available?)
• scientific article; zbMATH DE number 2112533 (Why is no real title available?)
• Extended fractional Gaussian noise and simple ARFIMA approximations
• On Efficient AR Spectral Estimation for Long-Range Predictions
• Linear prediction of long-range dependent time series
• Out-of-sample forecast errors in misspecific perturbed long memory processes.
• Forecasting highly persistent time series with bounded spectrum processes
• Testing for periodicity at an unknown frequency under cyclic long memory, with applications to respiratory muscle training

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