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Identification of the order of a fractionally differenced ARMA model - MaRDI portal

Identification of the order of a fractionally differenced ARMA model

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Publication:1966359

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zbMath0935.62100MaRDI QIDQ1966359

Johan Lyhagen

Publication date: 1 March 2000

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

zbMATH Keywords

time series analysis information criteria selection procedures autoregressive 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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