Consistent order selection for ARFIMA processes

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

zbMATH Keywords

Bayesian information criterionorder selectionARFIMA modelsconditional heteroscedastic errorslong memory and nonstationary time series

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Uses Software

• longmemo

Cites Work

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