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

DOI10.1007/S003620100071MaRDI QIDQ5956472zbMATH OpenOpenAlexFDO

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

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20)

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

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 218722 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• (MIS)SPECIFICATION OF LONG MEMORY IN SEASONAL TIME SERIES
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Comparing the bias and misspecification in ARFIMA models
• Fractional differencing
• MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION
• Stationary persistent time series misspecified as nonstationary arima
• The detection and estimation of long memory in stochastic volatility

Cited in

(4)

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

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)