We introduce a class of Gaussian processes with stationary increments which exhibit long-range dependence. The class includes fractional Brownian motion with Hurst parameter H > 1/2 as a typical example. We establish infinite and finite past prediction formulas for the processes in which the predictor coefficients are given explicitly in terms of the MA(∞) and AR(∞) coefficients.
"Prediction of fractional processes with long-range dependence." Hokkaido Math. J. 41 (2) 157 - 183, June 2012. https://doi.org/10.14492/hokmj/1340714411