Research Article | 03-March-2021
Sunil Kumar,
Apurba Vishal Dabgotra
Statistics in Transition New Series, Volume 22 , ISSUE 1, 89–114
Research Article | 03-March-2021
aggregated variance and the Higuchi methods were applied to test for the presence of long memory in the dataset. Furthermore, four breaks have been detected: in 1986, 1999, 2005, and 2013 using the Bayes information criterion. In the further section of the paper, the Hurst Exponent and Geweke-Porter-Hudak (GPH) methods were used to estimate the values of fractional differences. Thus, some ARFIMA models were identified using AIC (Akaike Information Criterion), BIC (Schwartz Bayesian Information Criterion
Remal Shaher AlـGounmeein,
Mohd Tahir Ismail
Statistics in Transition New Series, Volume 22 , ISSUE 1, 29–54