On the Predictability of Long-Range Dependent Series

Ming Li and Jia-Yue Li

Mathematical Problems in Engineering, 2010, vol. 2010, 1-9

Abstract:

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.

Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnlmpe:397454

DOI: 10.1155/2010/397454

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