On Large-Sample Estimation for the Mean of a Stationary Random Sequence, The Annals of Statistics, vol.2, issue.6, pp.1095-1107, 1974. ,
DOI : 10.1214/aos/1176342867
Statistical predictor identification, Annals of the Institute of Statistical Mathematics, vol.3, issue.1, pp.203-217, 1970. ,
DOI : 10.1007/BF02506337
Long memory processes and fractional integration in econometrics, Journal of Econometrics, vol.73, issue.1, pp.5-59, 1996. ,
DOI : 10.1016/0304-4076(95)01732-1
Generators of long-range dependent processes : a survey, Theory and applications of long-range dependence, pp.579-623, 2003. ,
URL : https://hal.archives-ouvertes.fr/hal-00127929
Long-memory forecasting of US monetary indices, Journal of Forecasting, vol.16, issue.4, pp.291-302, 2006. ,
DOI : 10.1002/for.990
An Asymptotic Result for the Finite Predictor., MATHEMATICA SCANDINAVICA, vol.10, pp.137-144, 1962. ,
DOI : 10.7146/math.scand.a-10520
Statistics for long-memory processes, volume 61 of Monographs on Statistics and Applied Probability, 1994. ,
On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes, Biometrika, vol.85, issue.4, pp.921-934, 1998. ,
DOI : 10.1093/biomet/85.4.921
Consistent Autoregressive Spectral Estimates, The Annals of Statistics, vol.2, issue.3, pp.489-502, 1974. ,
DOI : 10.1214/aos/1176342709
Asymptotic properties of the Wiener-Kolmogorov predictor. I, J. Roy. Statist. Soc. Ser. B, vol.36, pp.61-73, 1974. ,
Asymptotic properties of the Wiener-Kolmogorov predictor. II, J. Roy. Statist. Soc. Ser. B, vol.39, issue.1, pp.66-72, 1977. ,
Linear Prediction by Autoregressive Model Fitting in the Time Domain, The Annals of Statistics, vol.6, issue.1, pp.224-231, 1978. ,
DOI : 10.1214/aos/1176344081
Approximations and limit theory for quadratic forms of linear processes. Stochastic Process, Appl, vol.117, issue.1, pp.71-95, 2007. ,
Prediction of long-memory time series : An overview, Estad?AsticaEstad? Estad?Astica, vol.53, pp.160-161, 2001. ,
Estimation of the memory parameter by fitting fractionally differenced autoregressive models, Journal of Multivariate Analysis, vol.97, issue.10, pp.972101-2130, 2006. ,
DOI : 10.1016/j.jmva.2006.01.003
Convergence of probability measures Wiley Series in Probability and Statistics : Probability and Statistics, 1999. ,
Regular variation. Encyclopedia of Mathematics and its applications, 1987. ,
Norms of Toeplitz Matrices with Fisher???Hartwig Symbols, SIAM Journal on Matrix Analysis and Applications, vol.29, issue.2, 2006. ,
DOI : 10.1137/06066165X
Recursive Relations for Multistep Prediction of a Stationary Time Series, Journal of Time Series Analysis, vol.22, issue.4, pp.399-410, 2001. ,
DOI : 10.1111/1467-9892.00232
Influence of Missing Values on the Prediction of a Stationary Time Series, Journal of Time Series Analysis, vol.10, issue.2, pp.519-525, 2005. ,
DOI : 10.1111/1467-9892.00191
Simple consistent estimation of the coefficients of a linear filter, Stochastic Processes and their Applications, 1988. ,
DOI : 10.1016/0304-4149(88)90063-4
Time Series : Theory and Methods, 1991. ,
IntroductionàIntroduction`Introductionà l'analyse numérique matricielle etàet`età l'optimisation. Collection Mathématiques Appliquées pour la Maitrise, 1982. ,
Stl : A seasonal-trend decomposition procedure based on loess, Journal of Official Statistics, vol.6, pp.3-73, 1990. ,
Model selection and forecasting for long-range dependent processes, Journal of Forecasting, vol.14, issue.2, pp.107-125, 1996. ,
DOI : 10.1002/(SICI)1099-131X(199603)15:2<107::AID-FOR612>3.0.CO;2-D
Efficient parameter estimation for self-similar processes. The Annals of Statistics, 1989. ,
Long memory in intertrade durations, counts and realized volatility of NYSE stocks, Journal of Statistical Planning and Inference, vol.140, issue.12, 2007. ,
DOI : 10.1016/j.jspi.2010.04.037
Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation, Studies in Nonlinear Dynamics & Econometrics, vol.8, issue.2, 2004. ,
DOI : 10.2202/1558-3708.1218
Goodness-of-fit test for long range dependent processes, ESAIM: Probability and Statistics, vol.6, pp.239-258, 2001. ,
DOI : 10.1051/ps:2002013
Noncentral Limit Theorems for Quadratic Forms in Random Variables Having Long-Range Dependence, The Annals of Probability, vol.13, issue.2, pp.428-446, 1985. ,
DOI : 10.1214/aop/1176993001
Large-Sample Properties of Parameter Estimates for Strongly Dependent Stationary Gaussian Time Series, The Annals of Statistics, vol.14, issue.2, pp.517-532, 1986. ,
DOI : 10.1214/aos/1176349936
Central limit theorems for quadratic forms in random variables having long-range dependence, Probability Theory and Related Fields, vol.4, issue.2, pp.213-240, 1987. ,
DOI : 10.1007/BF00569990
Introduction to statistical time series, Wiley Series in Probability and Mathematical Statistics, 1976. ,
DOI : 10.1002/9780470316917
THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS, Journal of Time Series Analysis, vol.50, issue.3, pp.221-238, 1983. ,
DOI : 10.1137/1010093
STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL
LIMIT THEOREM, Econometric Theory, vol.16, issue.01, pp.3-22, 2000. ,
DOI : 10.1017/S0266466600161018
A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate, Probability Theory and Related Fields, vol.10, issue.1, pp.87-104, 1990. ,
DOI : 10.1007/BF01207515
Linear prediction of long-range dependent time series, ESAIM: Probability and Statistics, vol.13, p.702485, 2007. ,
DOI : 10.1051/ps:2008015
URL : https://hal.archives-ouvertes.fr/hal-00131530
Prediction of long memory processes on same-realisation, Journal of Statistical Planning and Inference, vol.140, issue.4, 1922. ,
DOI : 10.1016/j.jspi.2009.09.016
URL : https://hal.archives-ouvertes.fr/hal-00196208
Linear prediction of long-range dependent time series, ESAIM: Probability and Statistics, vol.13, 2008. ,
DOI : 10.1051/ps:2008015
URL : https://hal.archives-ouvertes.fr/hal-00131530
ON GENERALIZED FRACTIONAL PROCESSES, Journal of Time Series Analysis, vol.7, issue.12, pp.233-257, 1989. ,
DOI : 10.2307/2287515
Toeplitz forms and their applications. California Monographs in Mathematical Sciences, 1958. ,
Estimation of the location and exponent of the spectral singularity of a long memory process, Journal of Time Series Analysis, vol.23, issue.1, pp.55-81, 2004. ,
DOI : 10.1017/S0266466600161031
URL : https://hal.archives-ouvertes.fr/hal-00147620
PREDICTION AND SIGNAL EXTRACTION OF STRONGLY DEPENDENT PROCESSES IN THE FREQUENCY DOMAIN, Econometric Theory, vol.18, issue.03, pp.584-624, 2002. ,
DOI : 10.1017/S0266466602183022
Fractional differencing, Biometrika, vol.68, issue.1, pp.165-176, 1981. ,
DOI : 10.1093/biomet/68.1.165
Asymptotic distributions of the sample mean, autocovariances, and autocorrelations of long-memory time series, Journal of Econometrics, vol.73, issue.1, pp.261-284, 1996. ,
DOI : 10.1016/0304-4076(95)01740-2
Modeling persistence in hydrological time series using fractional differencing, Water Resources Research, vol.6, issue.12, pp.1898-1908, 1984. ,
DOI : 10.1029/WR020i012p01898
Long-term storage capacity of reservoirs, Trans. Am. Soc. Civ. Eng, vol.116, pp.770-799, 1951. ,
On same-realization prediction in an infinite-order autoregressive process, Journal of Multivariate Analysis, vol.85, issue.1, pp.130-155, 2003. ,
DOI : 10.1016/S0047-259X(02)00029-5
Regularly varying correlation functions and KMO-Langevin equations, Hokkaido Mathematical Journal, vol.26, issue.2, pp.457-482, 1997. ,
DOI : 10.14492/hokmj/1351257978
Asymptotics for the partial autocorrelation function of a stationary process, Journal d'Analyse Math??matique, vol.22, issue.1, pp.65-109, 2000. ,
DOI : 10.1007/BF02788986
Explicit representation of finite predictor coefficients and its applications, The Annals of Statistics, vol.34, issue.2, pp.973-993, 2006. ,
DOI : 10.1214/009053606000000209
Stationary sequences in Hilbert's space, Bull. Mosk. Gos. Univ. Mat, vol.2, issue.6, pp.1-40, 1941. ,
Properties of Predictors in Misspecified Autoregressive Time Series Models, Journal of the American Statistical Association, vol.36, issue.392, pp.941-950, 1985. ,
DOI : 10.1080/01621459.1985.10478208
Statistical aspects of self-similar processes, Proceedings of the 1st World Congress of the Bernoulli Society, pp.67-74, 1986. ,
Prediction of multivariate time series by autoregressive model fitting, Journal of Multivariate Analysis, vol.16, issue.3, pp.393-411, 1985. ,
DOI : 10.1016/0047-259X(85)90027-2
Multiple Wiener-Itô integrals, Lecture Notes in Mathematics, vol.849, 1981. ,
Fractionally differenced ARIMA models applied to hydrologic time series: Identification, estimation, and simulation, Water Resources Research, vol.2, issue.5, pp.1035-1044, 1997. ,
DOI : 10.1029/97WR00043
Broadband log-periodogram regression of time series with long-range dependence, The Annals of Statistics, vol.27, issue.4, pp.1415-1439, 1999. ,
DOI : 10.1214/aos/1017938932
On the convergence of finite linear predictors of stationary processes, Journal of Multivariate Analysis, vol.30, issue.2, pp.167-180, 1989. ,
DOI : 10.1016/0047-259X(89)90033-X
Foundations of time series analysis and prediction theory, Wiley Series in Probability and Statistics : Applied Probability and Statistics, 2001. ,
Long-range forecasting of IBM product revenues using a seasonal fractionally differenced ARMA model, International Journal of Forecasting, vol.9, issue.2, pp.255-269, 1993. ,
DOI : 10.1016/0169-2070(93)90009-C
MODELING LONG-MEMORY PROCESSES FOR OPTIMAL LONG-RANGE PREDICTION, Journal of Time Series Analysis, vol.27, issue.3, pp.511-525, 1993. ,
DOI : 10.1016/0304-4076(92)90084-5
Some limit theorems for partial sums of quadratic forms in stationary Gaussian variables, Zeitschrift f???r Wahrscheinlichkeitstheorie und Verwandte Gebiete, vol.40, issue.2, pp.125-132, 1979. ,
DOI : 10.1007/BF00534252
Orthogonal polynomials on the unit circle, 2005. ,
Fractional Brownian motion and long-range dependence, Theory and applications of long-range dependence, pp.5-38, 2003. ,
Some advances in non-linear and adaptive modelling in time-series, Journal of Forecasting, vol.84, issue.2, pp.109-131, 1994. ,
DOI : 10.1002/for.3980130206
On the central moments of the multidimensional Gaussian distribution, Math. Sci, vol.28, issue.2, pp.125-128, 2003. ,
LONG-RANGE DEPENDENCE AND MIXING FOR DISCRETE TIME FRACTIONAL PROCESSES, Journal of Time Series Analysis, vol.6, issue.2, pp.323-338, 1995. ,
DOI : 10.1111/j.1467-9892.1995.tb00237.x
Adaptive Prediction by Least Squares Predictors in Stochastic Regression Models with Applications to Time Series, The Annals of Statistics, vol.15, issue.4, pp.1667-1682, 1987. ,
DOI : 10.1214/aos/1176350617
Prediction and regulation by linear least-square methods, 1983. ,
Extrapolation, Interpolation, and Smoothing of Stationary Time Series. With Engineering Applications. The Technology Press of the Massachusetts Institute of Technology, 1949. ,
Self-similarity through high-variability : Statistical analysis of ethernet lan traffic at the spurce level, Transactions on Networking, 1997. ,