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On unified model selection for stationary and nonstationary short- and long-memory autoregressive processes |
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| Authors: | BERAN, J. BHANSALI, R. J. OCKER, D. |
| Affiliation: | Department of Mathematics and Computer Science, University of Konstanz Universitätsstrasse 10, Postfach 5560, 78457 Konstanz, Germanyjberan{at}iris.rz.uni-konstanz.de Department of Statistics and Computational Mathematics, University of Liverpool Brownlow Hill, P.O. Box 147, Liverpool L69 3BX, U.K.sa17{at}liverpool.ac.uk Department of Economics and Statistics, University of Konstanz Universitätsstrasse 10, Postfach 5560, 78457 Konstanz, Germanydirk.ocker{at}uni-konstanz.de |
| Abstract: | |
| Keywords: | AIC Autoregressive process BIC Box-Jenkins ARIMA Differencing Fractional ARIMA HIC Long-range dependence Maximum likelihood estimation Model choice |
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