Prediction of fractional processes with long-range dependence

DOI10.14492/HOKMJ/1340714411zbMath1250.62046arXiv0708.3631OpenAlexW2963457230MaRDI QIDQ431593

Akihiko Inoue, V. V. Anh

Publication date: 29 June 2012

Published in: Hokkaido Mathematical Journal (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0708.3631

zbMATH Keywords

fractional Brownian motionlong-range dependenceprediction coefficients

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Gaussian processes (60G15) Fractional processes, including fractional Brownian motion (60G22) Prediction theory (aspects of stochastic processes) (60G25)

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