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Mean square prediction error for long-memory processes |
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| Authors: | Luisa Bisaglia Silvano Bordignon |
| Institution: | (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 |
| Keywords: | : Fractional ARIMA (p d q) processes long-range dependence long-range forecasting mean square prediction error misspecification |
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