Moment bounds and mean squared prediction errors of long-memory time series

DOI10.1214/13-AOS1110zbMATH Open1292.62099arXiv1307.1962MaRDI QIDQ366971FDOQ366971

Shih-Feng Huang, Ching-Kang Ing, Ngai Hang Chan

Publication date: 25 September 2013

Published in: The Annals of Statistics (Search for Journal in Brave)

Abstract: A moment bound for the normalized conditional-sum-of-squares (CSS) estimate of a general autoregressive fractionally integrated moving average (ARFIMA) model with an arbitrary unknown memory parameter is derived in this paper. To achieve this goal, a uniform moment bound for the inverse of the normalized objective function is established. An important application of these results is to establish asymptotic expressions for the one-step and multi-step mean squared prediction errors (MSPE) of the CSS predictor. These asymptotic expressions not only explicitly demonstrate how the multi-step MSPE of the CSS predictor manifests with the model complexity and the dependent structure, but also offer means to compare the performance of the CSS predictor with the least squares (LS) predictor for integrated autoregressive models. It turns out that the CSS predictor can gain substantial advantage over the LS predictor when the integration order is high. Numerical findings are also conducted to illustrate the theoretical results.

Full work available at URL: https://arxiv.org/abs/1307.1962

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zbMATH Keywords

ARFIMA modelmean squared prediction errormoment boundintegrated AR modellong-memory time seriesmulti-step prediction

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) (L^p)-limit theorems (60F25)

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Cited In (5)

• Mean square prediction error for long-memory processes
• Toward optimal model averaging in regression models with time series errors
• Consistent order selection for ARFIMA processes
• Moment bounds and mean squared prediction errors of long-memory time series
• Negative Moment Bounds for Stochastic Regression Models with Deterministic Trends and Their Applications to Prediction Problems

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