INOUE Akihiko, ANH Vo V.,
Prediction of fractional processes with long-range dependence.
Hokkaido Mathematical Journal, 41 (2012) pp.157-183
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.
|Uncontrolled Keywords||Predictor coefficients, prediction, fractional Brownian motion, long-range dependence|