Consistent order selection for arfima processes

Hsueh-Han Huang National Tsing Hua University Ngai Hang Chan The Chinese University of Hong Kong Kun Chen Southwestern University of Finance and Economics Ching-Kang Ing National Tsing Hua University

arXiv subject: Statistics Theory (math.ST) mathscidoc:2206.72001

Annals of Statistics, 50, (3), 1297–1319, 2022.6
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ARFIMA models, Bayesian information criterion, conditional heteroscedastic errors, long memory and nonstationary time series, order selection
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@inproceedings{hsueh-han2022consistent,
  title={CONSISTENT ORDER SELECTION FOR ARFIMA PROCESSES},
  author={Hsueh-Han Huang, Ngai Hang Chan, Kun Chen, and Ching-Kang Ing},
  url={http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20220623220711761791457},
  booktitle={Annals of Statistics},
  volume={50},
  number={3},
  pages={1297–1319},
  year={2022},
}
Hsueh-Han Huang, Ngai Hang Chan, Kun Chen, and Ching-Kang Ing. CONSISTENT ORDER SELECTION FOR ARFIMA PROCESSES. 2022. Vol. 50. In Annals of Statistics. pp.1297–1319. http://archive.ymsc.tsinghua.edu.cn/pacm_paperurl/20220623220711761791457.
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