Open Access
June 2012 Prediction of fractional processes with long-range dependence
Akihiko INOUE, Vo V. ANH
Hokkaido Math. J. 41(2): 157-183 (June 2012). DOI: 10.14492/hokmj/1340714411


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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Akihiko INOUE. Vo V. ANH. "Prediction of fractional processes with long-range dependence." Hokkaido Math. J. 41 (2) 157 - 183, June 2012.


Published: June 2012
First available in Project Euclid: 26 June 2012

zbMATH: 1250.62046
MathSciNet: MR2977043
Digital Object Identifier: 10.14492/hokmj/1340714411

Primary: 60G25
Secondary: 60G15

Keywords: fractional Brownian motion , long-range dependence , prediction , Predictor coefficients

Rights: Copyright © 2012 Hokkaido University, Department of Mathematics

Vol.41 • No. 2 • June 2012
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