Linear prediction of long-range dependent time series

Abstract

Abstract. We present two approaches for linear prediction of long-memory time series. The first approach consists in truncating the Wiener-Kolmogorov predictor by restricting the observations to the last k terms, which are the only available data in practice. We derive the asymptotic behaviour of the mean-squared error as k tends to +∞. The second predictor is the finite linear least-squares predictor i.e. the projection of the forecast value on the last k observations. It is shown that these two predictors converge to the Wiener Kolmogorov predictor at the same rate k −1 .