Prediction of long memory processes on same-realisation

DOI10.1016/j.jspi.2009.09.016zbMath1179.62133arXiv0712.1922OpenAlexW2949242098MaRDI QIDQ2655052

Fanny Godet

Publication date: 22 January 2010

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

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

zbMATH Keywords

Toeplitz matrixsimulationslong memorylinear predictionleast-squares predictor based on finite past

Mathematics Subject Classification ID

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

Related Items

Estimation of inverse autocovariance matrices for long memory processes ⋮ On the predictability of long-range dependent series ⋮ Order selection for possibly infinite-order non-stationary time series

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