Identification of the order of a fractionally differenced ARMA model

zbMATH Open0935.62100MaRDI QIDQ1966359FDOQ1966359

Authors: Johan Lyhagen 

Publication date: 1 March 2000

Published in: Computational Statistics (Search for Journal in Brave)

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zbMATH Keywords

information criteriatime series analysisselection proceduresautoregressive fractionally integrated moving average

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Cited In (5)

• Title not available (Why is that?)
• Identification of Fractional Models from Frequency Data
• Identification of fractional differencing autoregressive models^†
• Title not available (Why is that?)
• STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS

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