Recursive Calculation of Arifma forecasts?

edgetrading · September 1st, 2011, 9:14 am

Suppose I have fit an ARFIMA model http://en.wikipedia.org/wiki/Autoregres ... g_averageI have the weights of my coefficients from Eqn21 in this: http://www.long-memory.com/Baillie1996.pdfIs there an way to recursively generate new forecasts, upon arrival of a new datapoint? The calculations for recursively calculating exponential moving averages look similar, but not quite the same.