Multivariate Local Linear Regression in the Prediction of ARFIMA Processes

摘要：

Long memory processes are widely used in many scientific fields, such as bioinformatics, economics and engineering. In this paper, we use the multivariate local linear estimator to predict the ARFIMA(p,d,q) processes. Using the C-C method to choose the appropriate delay time and the embedding dimension, we reconstruct the time series and use multivariate local linear estimator to directly predict ARFIMA processes, we also obtain the MSE of this estimator, which is not same as for short memory or i.i.d data. Simulation results show that this estimator is better than some parameter methods, such as the GPH and banded MLE.

作者: Yongdao Zhou Shilong Gao Wangyong lv

作者单位: College of Mathematics,Sichuan University Chengdu 610064, China Department of Mathematics Leshan Normal University Leshan 614000,China College of Mathematics and software science Sichuan Normal University Chengdu 610068, China

会议类型: 国际会议

会议名称: The 4th International Conference on Bioinformatics and Biomedical Engineering(第四届IEEE生物信息与生物医学工程国际会议 iCBBE 2010)

会议地点: 成都

会议语种:英文

页码: 1-4

在线出版日期: 2010-06-18（万方平台首次上网日期，不代表论文的发表时间）