Mean square prediction error for long-memory processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s00362-002-0095-x.pdf
Reference20 articles.
1. Baillie R.T. (1979) Asymptotic prediction mean square error for vector autoregressive models. Biometrika 66, 675–678.
2. Bisaglia L. and Guegan D. (1998) A comparison of techniques of estimation in long-memory processes. Comp. Stat. & Data An. 27, 61–81.
3. Brockwell P.J. and Davis R.A. (1991) Time Series: Theory and Methods, 2nd edn. Springer, New York.
4. Brodsky J. and Hurvich CM. (1999) Multi-step forecasting for long-memory processes. J. Forecast. 18, 59–75.
5. Crato N. and Ray B.K. (1996) Model selection and forecasting for long-memory processes. J. Forecast. 15, 107–125.
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