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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/14794
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| Title: | Multistep forecasting of long memory series using fractional exponential models |
| Authors: | Hurvich, Clifford M. |
| Keywords: | Fractional integration
Long-range dependence
Spectral factorization |
| Issue Date: | 2000 |
| Publisher: | Stern School of Business, New York University |
| Series/Report no.: | SOR-2000-10 |
| Abstract: | We develop forecasting methodology for the fractional exponential (FEXP)
model. First, we devise algorithms for fast exact computation of the
coefficients in the infinite order autoregressive and moving average
representations of a FEXP process. We also describe an algorithm to
accurately approximate the autocovariances and to simulate realizations
of the process. Next, we present a fast frequency-domain cross
validation method for selecting the order of the model. This model
selection method is designed to yield the model which provides the best
multistep forecast for the given lead time, without assuming that the
process actually obeys a FEXP model. Finally, we use the infinite order
autoregressive coefficients of a fitted FEXP model to construct
multistep forecasts of inflation in the United Kingdom. These forecasts
are substantially different than those from a fitted ARFIMA model. |
| URI: | http://hdl.handle.net/2451/14794 |
| Appears in Collections: | IOMS: Statistics Working Papers
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