MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
From MaRDI portal
Publication:4272771
DOI10.1111/j.1467-9892.1993.tb00161.xzbMath0779.62088OpenAlexW2021879483MaRDI QIDQ4272771
Publication date: 19 January 1994
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.1993.tb00161.x
simulationlong-range dependencefinite sample sizeapproximating \(\text{AR}(p)\) modelasymptotic \(k\)-step-ahead prediction errorfractional noise modelfractionally differenced noise processlong-memory datalong-range forecasting accuracy
Related Items
Fractionally differenced Gegenbauer processes with long memory: a review ⋮ Infinite variance stable Gegenbauer ARFISMA models ⋮ An asymptotic Wiener-Itô representation for the low frequency ordinates of the periodogram of a long memory time series ⋮ Asymptotically efficient autoregressive model selection for multistep prediction ⋮ On Efficient AR Spectral Estimation for Long-Range Predictions ⋮ Long memory processes and fractional integration in econometrics ⋮ Forecasting long memory time series when occasional breaks occur ⋮ Mean square prediction error for long-memory processes ⋮ Convex combinations of long memory estimates from different sampling rates ⋮ Indirect inference for fractional time series models ⋮ A SCORE TEST FOR SEASONAL FRACTIONAL INTEGRATION AND COINTEGRATION ⋮ Out-of-sample forecast errors in misspecific perturbed long memory processes. ⋮ Stationary persistent time series misspecified as nonstationary arima ⋮ Linear prediction of long-range dependent time series ⋮ Some simulations and applications of forecasting long-memory time-series models ⋮ A nonlinear long memory model, with an application to US unemployment.
Cites Work
