On the Predictability of Long-Range Dependent Series
نویسندگان
چکیده
This paper points out that the predictability analysis of conventional time series may in general be invalid for long-range dependent LRD series since the conventional mean-square error MSE may generally not exist for predicting LRD series. To make the MSE of LRD series prediction exist, we introduce a generalized MSE. With that, the proof of the predictability of LRD series is presented in Hilbert space.
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