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Change-of-variance problem for linear processes with long memory

✍ Scribed by Lihong Wang; Jinde Wang

Publisher
Springer-Verlag
Year
2006
Tongue
English
Weight
656 KB
Volume
47
Category
Article
ISSN
0932-5026

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## 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