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arXiv:0708.3631 [math.PR]AbstractReferencesReviewsResources

Prediction of Fractional Processes with Long-range Dependence

Akihiko Inoue, Vo Van Anh

Published 2007-08-27, updated 2011-11-09Version 2

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.

Comments: Title is changed. Section 5 is changed. 17 pages
Categories: math.PR
Subjects: 60G25, 60G15
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