Order Selection and Inference with Long Memory Dependent Data

DOI10.1111/jtsa.12476zbMath1422.62282OpenAlexW2945151082MaRDI QIDQ5226141

Abhimanyu Gupta, Javier Hidalgo

Publication date: 30 July 2019

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/101099/1/Order_Det_Jan_2018.pdf

zbMATH Keywords

spectral decompositionlong memoryBICHIC

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05) Statistical aspects of information-theoretic topics (62B10)

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