Forecasting with non Gaussian long memory processes

Dominique Guegan (1) , Jerome Collet (1)

1 IDHE - Institutions et Dynamiques Historiques de l'Economie

We provide the expression of the prediction function for non-Gaussian long memory process.

Mots clés: Long memory processes; Forecasting; Estimation theory

Domaines: Economies et finances; Probabilités [math.PR]; Statistiques [math.ST]

Dominique Guegan, Jerome Collet. Forecasting with non Gaussian long memory processes. Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003. ⟨halshs-00201323⟩