Prediction of Long-Range Dependent Time Series Data with Performance Guarantee

DOI10.1007/978-3-642-04944-6_4MaRDI QIDQ3646116zbMATH OpenOpenAlexFDO

Authors Mikhail Dashevskiy, Zhiyuan Luo

Publication date 19 November 2009

Published in Stochastic Algorithms: Foundations and Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-642-04944-6_4

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Complexity and performance of numerical algorithms (65Y20)

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Cites work

• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Competitive On-line Statistics
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Fractional differencing
• scientific article; zbMATH DE number 1944320 (Why is no real title available?)
• Long‐Memory Time Series
• Mean square prediction error for long-memory processes
• Prediction with expert advice for the Brier game
• Statistical Tables, Explained and Applied
• The ARMA model in state space form
• Time series: theory and methods.

Cited in

(1)

• Long-Term Prediction Intervals of Time Series

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