Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases (Q2477005)
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scientific article; zbMATH DE number 5248738
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| English | Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases |
scientific article; zbMATH DE number 5248738 |
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Autoregressive approximation in nonstandard situations: the fractionally integrated and non-invertible cases (English)
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12 March 2008
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Autoregression
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Fractional process
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Non-invertibility
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Order selection
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Asymptotic efficiency
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0.9069587
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0.8905971
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0.8892509
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0.88398826
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0.88252765
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0.8794293
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0.87729937
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