Journal
MATHEMATICAL PROBLEMS IN ENGINEERING
Volume 2010, Issue -, Pages -Publisher
HINDAWI LTD
DOI: 10.1155/2010/397454
Keywords
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Funding
- National Natural Science Foundation of China (NSFC) [60573125, 60873264, 60703112, 60873168]
- National High Technology Research and Development Program (863) of China [2009AA01Z418]
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This paper points out that the predictability analysis of conventional time series may in general be invalid for long-range dependent (LRD) series since the conventional mean-square error (MSE) may generally not exist for predicting LRD series. To make the MSE of LRD series prediction exist, we introduce a generalized MSE. With that, the proof of the predictability of LRD series is presented in Hilbert space.
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