This is the program for the 2010 Joint Statistical Meetings in Vancouver, British Columbia.
Abstract Details
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Activity Number:
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31
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Type:
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Contributed
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Date/Time:
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Sunday, August 1, 2010 : 2:00 PM to 3:50 PM
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Sponsor:
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Business and Economic Statistics Section
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| Abstract - #308333 |
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Title:
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A Vector Autoregressive Approximation for an Infinite-Order Autoregressive Long Memory Process
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Author(s):
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Chafik Bouhaddioui*+
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Companies:
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United Arab Emirates University
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Address:
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College of Business and Economics, Al Ain, , United Arab Emirates
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Keywords:
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Vector Autoregressive Approximation ;
Order Selection ;
Long Memory Process ;
Asymptotic Efficiency
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Abstract:
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In this paper we propose an approximation of an infinite-order autoregressive process with a long memory condition with a finite-order vector autoregressive process. Under some regular conditions on the order, which increases to infinity with the sample size at some rate, we show the consistency of the estimated autoregressive parameters. An asymptotic approximation to the mean square prediction error based on this autoregressive model fitting approach is obtained. An extension of a result on the predictive optimality of AIC to long memory process is discussed.
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Authors who are presenting talks have a * after their name.
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