Prediction of long memory processes on same-realisation

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

Authors: 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

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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)

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Cited In (10)

• Linear prediction of long-range dependent time series
• On the asymptotic behavior of the prediction error of a stationary process
• Order selection for possibly infinite-order non-stationary time series
• On nonparametric prediction of linear processes
• 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.
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• Extrapolation of real-time processes by their structural properties
• Memory-universal prediction of stationary random processes

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