(1) Department of Statistics, University of Padova, via San Francesco 33, 35121 Padova, Italy (e-mail: bisaglia@stat.unipd.it; bordignon@stat.unipd.it), IT
Abstract:
ARFIMA (p, d, q) processes. In particular we obtain the (asymptotic) mean square prediction error when the parameters of the process are
either known or estimated in the cases both of correct and misspecified model. Some Monte Carlo experiments confirm the validity
of the asymptotic results.
Received: August 6, 1999; revised version: June 26, 2000