ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS

DOI10.1111/J.1467-9892.1988.TB00465.XMaRDI QIDQ3821446zbMATH OpenOpenAlexFDO

Authors B. J. C. Perera, Shelton Peiris

Publication date 1988

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1988.tb00465.x

zbMATH Keywords

conditional expectationHilbert spaceoptimal predictorsorthogonal projectionpredictors of fractionally differenced autoregressive integrated moving-average (ARIMA) processespredictors of long-memory time series models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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Cites work

• Fractional differencing

Cited in

(21)

• Some simulations and applications of forecasting long-memory time-series models
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• Statistical analysis of autoregressive fractionally integrated moving average models in R
• A new variant of ARFIMA process and its predictive ability
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• Prediction of Long-Range Dependent Time Series Data with Performance Guarantee
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Identification of fractional differencing autoregressive models^†
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• scientific article; zbMATH DE number 934079 (Why is no real title available?)
• Fractionally integrated ARMA for crude palm oil prices prediction: case of potentially overdifference
• Chapter 14 A Predictive Comparison of Some Simple Long- and Short Memory Models of Daily U.S. Stock Returns, with Emphasis on Business Cycle Effects
• Analysis and forecasting of self-similar financial time series
• Forecasting highly persistent time series with bounded spectrum processes
• Exploring long-memory process in the prediction of interval-valued financial time series and its application
• On the predictability of long-range dependent series

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