Linear prediction of long-range dependent time series

DOI10.1051/ps:2008015zbMath1180.62132arXivmath/0702485MaRDI QIDQ5851014

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

zbMATH Keywords

linear model; long-memory; autoregressive process; forecast error

Mathematics Subject Classification ID

62M20: Inference from stochastic processes and prediction

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Prediction of long memory processes on same-realisation

Cites Work

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