Out-of-sample forecast errors in misspecific perturbed long memory processes.

DOI10.1007/S003620100071zbMATH Open1099.62534OpenAlexW2050648955MaRDI QIDQ5956472FDOQ5956472

Authors: Miguel A. Arranz, F. Marmol 

Publication date: 2001

Published in: Statistical Papers (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s003620100071

Recommendations

• Stationary persistent time series misspecified as nonstationary arima
• Mean square prediction error for long-memory processes
• Forecasting long memory time series when occasional breaks occur
• Estimation of mis-specified long memory models
• The estimation of misspecified long memory models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Comparing the bias and misspecification in ARFIMA models
• The detection and estimation of long memory in stochastic volatility
• Title not available (Why is that?)
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Stationary persistent time series misspecified as nonstationary arima

Cited In (4)

• Mean square prediction error for long-memory processes
• Nonlinearity, nonstationarity, and spurious forecasts
• Forecasting unstable processes
• Moment bounds and mean squared prediction errors of long-memory time series

This page was built for publication: Out-of-sample forecast errors in misspecific perturbed long memory processes.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5956472)