Explicit representation of finite predictor coefficients and its applications

DOI10.1214/009053606000000209zbMath1098.62120arXivmath/0405051OpenAlexW2952465447MaRDI QIDQ2497189

Yukio Kasahara, Akihiko Inoue

Publication date: 3 August 2006

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0405051

zbMATH Keywords

long memory processesBaxter's inequalityfinite predictor coefficientsfractional ARIMA processesMA and AR coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Prediction theory (aspects of stochastic processes) (60G25)

Related Items (24)

Exponential decay rate of partial autocorrelation coefficients of ARMA and short-memory processes ⋮ Estimation of inverse autocovariance matrices for long memory processes ⋮ Prediction of Fractional Brownian Motion-Type Processes ⋮ Prediction of long memory processes on same-realisation ⋮ Directed attention and nonparametric learning ⋮ BIAS CORRECTION OF SEMIPARAMETRIC LONG MEMORY PARAMETER ESTIMATORS VIA THE PREFILTERED SIEVE BOOTSTRAP ⋮ Convergence of the best linear predictor of a weakly stationary random field ⋮ Explicit formulas for the inverses of Toeplitz matrices, with applications ⋮ Representation theorems in finite prediction, with applications ⋮ An explicit representation of Verblunsky coefficients ⋮ Szegő's theorem and its probabilistic descendants ⋮ Multivariate prediction and matrix Szegő theory ⋮ Asymptotic properties of sieve bootstrap prediction intervals for \textit{FARIMA} processes ⋮ Verblunsky coefficients and Nehari sequences ⋮ Baxter's inequality for fractional Brownian motion-type processes with Hurst index less than 1/2 ⋮ Simple matrix representations of the orthogonal polynomials for a rational spectral density on the unit circle ⋮ AR and MA representation of partial autocorrelation functions, with applications ⋮ The intersection of past and future for multivariate stationary processes ⋮ Closed-form expression for finite predictor coefficients of multivariate ARMA processes ⋮ Reconciling the Gaussian and Whittle likelihood with an application to estimation in the frequency domain ⋮ Aspects of prediction ⋮ Inference for impulse response coefficients from multivariate fractionally integrated processes ⋮ Rigidity for matrix-valued Hardy functions ⋮ Higher-order improvements of the sieve bootstrap for fractionally integrated processes

Uses Software

• longmemo

Cites Work

• Algorithms for linear interpolator and interpolation error for minimal stationary stochastic processes
• Characterizations of completely nondeterministic stochastic processes
• Time series: theory and methods.
• Consistent autoregressive spectral estimates
• Wold-Cramer concordance theorems for interpolation of q-variate stationary processes over locally compact Abelian groups
• Baxter's inequality and convergence of finite predictors of multivariate stochastic processes
• Regularly varying correlation functions and KMO-Langevin equations
• Partial autocorrelation functions of the fractional ARIMA processes with negative degree of differencing.
• Asymptotic behavior of the prediction error for stationary random sequences
• Asymptotics for the partial autocorrelation function of a stationary process
• Asymptotic behavior for partial autocorrelation functions of fractional ARIMA processes.
• Fractional ARIMA with stable innovations
• An Asymptotic Result for the Finite Predictor.
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Past and Future
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