Consistent order selection for ARFIMA processes
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Publication:2148974
DOI10.1214/21-AOS2149OpenAlexW4283023853MaRDI QIDQ2148974
Ching-Kang Ing, Hsueh-Han Huang, Kun Chen, Ngai Hang Chan
Publication date: 24 June 2022
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/21-aos2149
Bayesian information criterionorder selectionARFIMA modelsconditional heteroscedastic errorslong memory and nonstationary time series
Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
Uses Software
Cites Work
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