Asymptotics for Prediction Errors of Sta
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A. Inoue; Y. Kasahara
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Article
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2000
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Elsevier Science
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English
β 141 KB
We consider the stationary processes that have completely monotone autocovari-Ε½ . Ε½ . ance functions R ΠΈ . We prove that regular variation of R ΠΈ implies an asymptotic formula for the prediction error.