2 papers
math.ST2007
Prediction of long memory processes on same-realisation
Fanny Godet
For the class of stationary Gaussian long memory processes, we study some properties of the least-squares predictor of X_{n+1} based on (X_n, ..., X_1). The predictor is obtained b…
math.ST2007★ 2 cited
Linear Prediction of Long-Memory Processes: Asymptotic Results on Mean-squared Errors
Fanny Godet
We present two approaches for linear prediction of long-memory time series. The first approach consists in truncating the Wiener-Kolmogorov predictor by restricting the observation…