LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS

DOI10.1111/j.1467-9892.1994.tb00205.xzbMath0825.62685MaRDI QIDQ4319843

Gemai Chen, Bovas Abraham, M. Shelton Peiris

Publication date: 28 November 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00205.x

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

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Cites Work

• Time series: theory and methods.
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