Mean square prediction error for long-memory processes

DOI10.1007/s00362-002-0095-xzbMath1017.62084OpenAlexW2090667436MaRDI QIDQ1402928

Silvano Bordignon, Luisa Bisaglia

Publication date: 31 August 2003

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00362-002-0095-x

zbMATH Keywords

long-range dependencemisspecificationmean square prediction errorfractional ARIMA(p,d,q) processeslong-range forecasting

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (5)

Heavy-tailed prediction error: a difficulty in predicting biomedical signals of \(1/f\) noise type ⋮ Forecasting long memory time series when occasional breaks occur ⋮ On the predictability of long-range dependent series ⋮ Inference of Seasonal Long‐memory Time Series with Measurement Error ⋮ Prediction of Long-Range Dependent Time Series Data with Performance Guarantee

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• Asymptotic prediction mean squared error for vector autoregressive models
• ON PREDICTION WITH FRACTIONALLY DIFFERENCED ARIMA MODELS
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION

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