Prediction of long memory processes on same-realisation

DOI10.1016/J.JSPI.2009.09.016MaRDI QIDQ2655052zbMATH OpenOpenAlexFDO

Authors 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

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)

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.

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Cited in

(10)

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

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