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Asymptotics for Prediction Errors of Stationary Processes with Reflection Positivity

✍ Scribed by A. Inoue; Y. Kasahara

Publisher: Elsevier Science
Year: 2000
Tongue: English
Weight: 141 KB
Volume: 250
Category: Article
ISSN: 0022-247X
DOI: 10.1006/jmaa.2000.7101

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✦ Synopsis

We consider the stationary processes that have completely monotone autocovari-Ž . Ž . ance functions R и . We prove that regular variation of R и implies an asymptotic formula for the prediction error.

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✍ Naoya Katayama 📂 Article 📅 2008 🏛 John Wiley and Sons 🌐 English ⚖ 481 KB

## Abstract In this paper we deal with the prediction theory of long‐memory time series. The purpose is to derive a general theory of the convergence of moments of the nonlinear least squares estimator so as to evaluate the asymptotic prediction mean squared error (PMSE). The asymptotic PMSE of two