Prediction of long memory processes on same-realisation

DOI10.1016/J.JSPI.2009.09.016zbMATH Open1179.62133arXiv0712.1922OpenAlexW2949242098MaRDI QIDQ2655052FDOQ2655052

Fanny Godet

Publication date: 22 January 2010

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Abstract: For the class of stationary Gaussian long memory processes, we study some properties of the least-squares predictor of X_{n+1} based on (X_n, ..., X_1). The predictor is obtained by projecting X_{n+1} onto the finite past and the coefficients of the predictor are estimated on the same realisation. First we prove moment bounds for the inverse of the empirical covariance matrix. Then we deduce an asymptotic expression of the mean-squared error. In particular we give a relation between the number of terms used to estimate the coefficients and the number of past terms used for prediction, which ensures the L^2-sense convergence of the predictor. Finally we prove a central limit theorem when our predictor converges to the best linear predictor based on all the past.

Full work available at URL: https://arxiv.org/abs/0712.1922

Recommendations

• Linear prediction of long-range dependent time series
• On the asymptotic behavior of the prediction error of a stationary process
• On nonparametric prediction of linear processes
• Prediction of fractional processes with long-range dependence
• Mean square prediction error for long-memory processes

zbMATH Keywords

simulationsToeplitz matrixlinear predictionlong memoryleast-squares predictor based on finite past

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Central limit and other weak theorems (60F05)

Cites Work

• Time series: theory and methods.
• Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series
• Long‐Memory Time Series
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Efficient parameter estimation for self-similar processes
• Simple consistent estimation of the coefficients of a linear filter
• Title not available (Why is that?)
• Title not available (Why is that?)
• Asymptotics for the partial autocorrelation function of a stationary process
• Explicit representation of finite predictor coefficients and its applications
• Title not available (Why is that?)
• Prediction of multivariate time series by autoregressive model fitting
• On same-realization prediction in an infinite-order autoregressive process.
• Central limit theorems for quadratic forms in random variables having long-range dependence
• Adaptive prediction by least squares predictors in stochastic regression models with applications to time series
• Title not available (Why is that?)
• Properties of Predictors in Misspecified Autoregressive Time Series Models
• Linear prediction by autoregressive model fitting in the time domain
• Title not available (Why is that?)
• Some limit theorems for partial sums of quadratic forms in stationary Gaussian variables
• Title not available (Why is that?)
• Title not available (Why is that?)
• Linear prediction of long-range dependent time series

Cited In (8)

• On the asymptotic behavior of the prediction error of a stationary process
• Order selection for possibly infinite-order non-stationary time series
• Estimation of inverse autocovariance matrices for long memory processes
• On the predictability of long-range dependent series
• On same-realization prediction in an infinite-order autoregressive process.
• Title not available (Why is that?)
• Extrapolation of real-time processes by their structural properties
• Memory-universal prediction of stationary random processes

This page was built for publication: Prediction of long memory processes on same-realisation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2655052)