Prediction of Fractional Processes with Long-range Dependence

Details Prediction of Fractional Processes with Long-range Dependence Prediction of Fractional Processes with Long-range Dependence

2007-08-27

arxiv.org/abs/0708.3631v2

Mathematics

Probability

Title is changed. Section 5 is changed. 17 pages

Scientific paper

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.

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