Mean square prediction error for long-memory processes
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Publication:1402928
DOI10.1007/s00362-002-0095-xzbMath1017.62084MaRDI QIDQ1402928
Luisa Bisaglia, Silvano Bordignon
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
long-range dependence; misspecification; mean square prediction error; fractional ARIMA(p,d,q) processes; long-range forecasting
62M20: Inference from stochastic processes and prediction
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
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