most citedLinear Prediction of Long-Memory Processes: Asymptotic Results on Mean-squared Errors

2 citations · 2 across the 3 of their papers we have counts for

collaborators

3 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…

math.ST2007

Linear Prediction of Long-Range Dependent Time Series

Fanny Godet

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 obs…