Consistent order selection for ARFIMA processes
Author:
Affiliation:
1. Institute of Statistics, National Tsing Hua University
2. Department of Statistics, The Chinese University of Hong Kong
3. School of Statistics, Southwestern University of Finance and Economics
Publisher
Institute of Mathematical Statistics
Subject
Statistics, Probability and Uncertainty,Statistics and Probability
Reference25 articles.
1. Ling, S. (2007). Testing for change points in time series models and limiting theorems for NED sequences. Ann. Statist. 35 1213–1237.
2. Ing, C.-K. and Wei, C.-Z. (2005). Order selection for same-realization predictions in autoregressive processes. Ann. Statist. 33 2423–2474.
3. BAILLIE, R. T., KAPETANIOS, G. and PAPAILIAS, F. (2014). Modified information criteria and selection of long memory time series models. Comput. Statist. Data Anal. 76 116–131.
4. BARDET, J.-M., KAMILA, K. and KENGNE, W. (2020). Consistent model selection criteria and goodness-of-fit test for common time series models. Electron. J. Stat. 14 2009–2052.
5. BERAN, J. (1994). Statistics for Long-Memory Processes. Monographs on Statistics and Applied Probability 61. CRC Press, New York.
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