{
  "id": "0708.3631",
  "version": "v2",
  "published": "2007-08-27T15:37:41.000Z",
  "updated": "2011-11-09T07:12:37.000Z",
  "title": "Prediction of Fractional Processes with Long-range Dependence",
  "authors": [
    "Akihiko Inoue",
    "Vo Van Anh"
  ],
  "comment": "Title is changed. Section 5 is changed. 17 pages",
  "categories": [
    "math.PR"
  ],
  "abstract": "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.",
  "revisions": [
    {
      "version": "v2",
      "updated": "2011-11-09T07:12:37.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "60G25",
      "60G15"
    ],
    "keywords": [
      "long-range dependence",
      "fractional processes",
      "finite past prediction formulas",
      "fractional brownian motion",
      "stationary increments"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 17,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2007arXiv0708.3631I"
    }
  }
}