Identification of the order of a fractionally differenced ARMA model

MaRDI QIDQ1966359zbMATH OpenFDO

Authors Johan Lyhagen

Publication date 1 March 2000

Published in Computational Statistics (Search for Journal in Brave)

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)

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• STOCHASTIC ORDERS OF MAGNITUDE ASSOCIATED WITH TWO-STAGE ESTIMATORS OF FRACTIONAL ARIMA SYSTEMS

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