Gao, Jie; Xu, Zhen-yuan; Zhang, Li-ting - In: Physica A: Statistical Mechanics and its Applications 388 (2009) 17, pp. 3475-3485
This paper analyzes the approximation of a general long-memory ARFIMA (p,d,q) process by a short-memory ARMA(1, 1) process. To validate this approximation, a mean square error forecast criterion is considered, and the calculation of the mean square error between the observation Xt+l of an ARFIMA...
