On the optimal forecast with the fractional Brownian motion

• Main Authors: WANG, Xiaohu, ZHANG, Chen, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Fractional Gaussian noise; Conditional expectation; Anti-persistence; Continuous record; Discrete record; Optimal forecast; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2632; https://ink.library.smu.edu.sg/context/soe_research/article/3631/viewcontent/Forecasting_fBm06.pdf
• Institution: Singapore Management University

This paper examines the performance of alternative forecasting formulae with the fractional Brownian motion based on a discrete and finite sample. One formula gives the optimal forecast when a continuous record over the infinite past is available. Another formula gives the optimal forecast when a co...