Linear prediction of long-range dependent time series

DOI10.1051/PS:2008015MaRDI QIDQ5851014zbMATH OpenOpenAlexFDO

Authors Fanny Godet

Publication date 21 January 2010

Published in ESAIM: Probability and Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/math/0702485, https://eudml.org/doc/104413

zbMATH Keywords

autoregressive processforecast errorlinear modellong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

Abstract: We present two approaches for next step linear prediction of long memory time series. The first is based on the truncation of the Wiener-Kolmogorov predictor by restricting the observations to the last $k$ terms, which are the only available values in practice. Part of the mean squared prediction error comes from the truncation, and another part comes from the parametric estimation of the parameters of the predictor. By contrast, the second approach is non-parametric. An AR($k$) model is fitted to the long memory time series and we study the error made with this misspecified model.

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Cited in

(12)

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• A Koopman-Takens theorem: linear least squares prediction of nonlinear time series
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