On the Predictability of Long-Range Dependent Series

被引：4
|
作者：
Li, Ming [1 ]
Li, Jia-Yue [2 ,3 ]
机构：
[1] E China Normal Univ, Sch Informat Sci & Technol, Shanghai 200241, Peoples R China
[2] E China Normal Univ, Sch Resources & Environm Sci, Shanghai 200062, Peoples R China
[3] Minist Educ China, Key Lab Geog Informat Sci, Shanghai 200062, Peoples R China
来源：
MATHEMATICAL PROBLEMS IN ENGINEERING | 2010年 / 2010卷
基金：
中国国家自然科学基金;
关键词：
MEMORY TIME-SERIES; LINEAR PREDICTION; MODELS; PARAMETER; SPECTRUM; ERRORS;
D O I：
10.1155/2010/397454
中图分类号：
T [工业技术];
学科分类号：
08 ;
摘要：
This paper points out that the predictability analysis of conventional time series may in general be invalid for long-range dependent (LRD) series since the conventional mean-square error (MSE) may generally not exist for predicting LRD series. To make the MSE of LRD series prediction exist, we introduce a generalized MSE. With that, the proof of the predictability of LRD series is presented in Hilbert space.
引用
收藏
页数：9
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