On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes

DOI10.1093/biomet/85.4.921zbMath1054.62581OpenAlexW2000453393MaRDI QIDQ4236518

R. J. Bhansali, Dirk Ocker, Jan Beran

Publication date: 1998

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/85.4.921

zbMATH Keywords

maximum likelihood estimationlong range dependenceAICBICmodel choicefractional ARIMAdifferencingHICBox-Jenkins ARIMA

Mathematics Subject Classification ID

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

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