WANG, Shin-Huei; BAUWENS, Luc; HSIAO, Cheng - Center for Operations Research and Econometrics (CORE), … - 2012
We develop an easy-to-implement method for forecasting a stationary autoregressive fractionally integrated moving average (ARFIMA) process subject to structural breaks with unknown break dates. We show that an ARFIMA process subject to a mean shift and a change in the long memory parameter can...
