In this work we consider the problem of deriving the mean square prediction error of ARFIMA(p, d, q) processes. In particular we obtain the (asymptotic) mean square prediction error when the parameters of the process are either known or estimated in the cases both of correct and misspecified model. Some Monte Carlo experiments confirm the validity of the asymptotic results.
Mean square prediction error for long memory processes
BISAGLIA, LUISA;BORDIGNON, SILVANO
2002
Abstract
In this work we consider the problem of deriving the mean square prediction error of ARFIMA(p, d, q) processes. In particular we obtain the (asymptotic) mean square prediction error when the parameters of the process are either known or estimated in the cases both of correct and misspecified model. Some Monte Carlo experiments confirm the validity of the asymptotic results.
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