Moment bounds and mean squared prediction errors of long-memory time series
长记忆时间序列的矩界与均方预测误差
A moment bound for the normalized conditional-sum-of-squares (CSS) estimate of a general autoregressive fractionally integrated moving average (ARFIMA) model with an arbitrary unknown memory parameter is derived in this paper. To achieve this goal, a uniform moment bound for the inverse of the normalized objective function is established. An important application of these results is to establish asymptotic expressions for the one-step and multi-step mean squared prediction…