کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
1149308 957872 2010 20 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Prediction of long memory processes on same-realisation
موضوعات مرتبط
مهندسی و علوم پایه ریاضیات ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
Prediction of long memory processes on same-realisation
چکیده انگلیسی
For the class of stationary Gaussian long memory processes, we study some properties of the least-squares predictor of Xn+1 based on (Xn,…,X1). The predictor is obtained by projecting Xn+1 onto the finite past and the coefficients of the predictor are estimated on the same realisation. First we prove moment bounds for the inverse of the empirical covariance matrix. Then we deduce an asymptotic expression of the mean-squared error. In particular we give a relation between the number of terms used to estimate the coefficients and the number of past terms used for prediction, which ensures the L2- sense convergence of the predictor. Finally we prove a central limit theorem when our predictor converges to the best linear predictor based on all the past.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 140, Issue 4, April 2010, Pages 907-926
نویسندگان
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