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Predictors for Seasonal and Nonseasonal Fractionally Integrated ARIMA Models |
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| Authors: | M. Shelton Peiris N. Singh |
| Abstract: | This paper derives easy-to-calculate preditors for seasonal and nonseasonal fractionally integrated autoregressive-moving average (ARIMA (p, d, q) × (P, D, Q)s) models with both differencing parameters d and D assuming values on the real line. It is shown that these predictors are optimum. Special attention is given to the one-step-ahead predictors as they are constantly in demand in almost every practical situation. |
| Keywords: | Fractional differencing Integrated Processes Long-memory Orthogonal projection Prediction Seasonal and nonseasonal ARIMA processess Minimum mean squared error predictors |