Modified information criteria and selection of long memory time series models

DOI10.1016/j.csda.2013.04.012zbMath1506.62018OpenAlexW2041118471MaRDI QIDQ1623513

Fotis Papailias, George Kapetanios, Richard T. Baillie

Publication date: 23 November 2018

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.csda.2013.04.012

zbMATH Keywords

long memorymodified information criteriaARFIMA models

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (2)

Unnamed Item ⋮ Consistent order selection for ARFIMA processes

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