Prediction of fractional processes with long-range dependence
نویسندگان
چکیده
منابع مشابه
Fractional Processes with Long-range Dependence
Abstract. We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients. We a...
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ژورنال
عنوان ژورنال: Hokkaido Mathematical Journal
سال: 2012
ISSN: 0385-4035
DOI: 10.14492/hokmj/1340714411