Moment bounds and mean squared prediction errors of long-memory time series
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Publication:366971
DOI10.1214/13-AOS1110zbMath1292.62099arXiv1307.1962MaRDI QIDQ366971
Shih-Feng Huang, Ngai Hang Chan, Ching-Kang Ing
Publication date: 25 September 2013
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1307.1962
mean squared prediction errormoment boundARFIMA modelintegrated AR modellong-memory time seriesmulti-step prediction
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) General nonlinear regression (62J02) (L^p)-limit theorems (60F25)
Related Items (4)
Consistent order selection for ARFIMA processes ⋮ Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems ⋮ Moment bounds and mean squared prediction errors of long-memory time series ⋮ Toward optimal model averaging in regression models with time series errors
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