On Order Selection for ARFIMA and GARCH Processes
- 2020-05-27 (Wed.), 14:00 PM
- R6005, Research Center for Environmental Changes Building
- The reception will be held at 15:00 at the R6005, Research Center for Environmental Changes Building
- Mr. Hsueh-Han, Huang
- Institute of Statistics, National Tsing Hua University
Abstract
We establish order selection consistency for autoregressive fractionally integrated moving average (ARFIMA) processes without constraints on the memory parameter, and for generalized autoregressive conditional heteroskedasticity (GARCH) processes. To the best of our knowledge, these are the first selection consistency results obtained for both classes of models. Numerical analysis is conducted to illustrate our theoretical findings.
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