Prediction of Fractional Processes with Long-range Dependence
Probability
2011-11-10 v2
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.
Cite
@article{arxiv.0708.3631,
title = {Prediction of Fractional Processes with Long-range Dependence},
author = {Akihiko Inoue and Vo Van Anh},
journal= {arXiv preprint arXiv:0708.3631},
year = {2011}
}
Comments
Title is changed. Section 5 is changed. 17 pages