Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

We consider a purely fractionally deferenced process driven by a periodically time-varying long memory parameter. We will build an estimate for the vector parameters using the minimum Hellinger distance estimation. The results are investigated through simulation studies.

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Veröffentlicht in:Comptes rendus. Mathématique 2022-10, Vol.360 (G10), p.1153-1162
Hauptverfasser: Amimour, Amine, Belaide, Karima, Hili, Ouagnina
Format: Artikel
Sprache:eng
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Zusammenfassung:We consider a purely fractionally deferenced process driven by a periodically time-varying long memory parameter. We will build an estimate for the vector parameters using the minimum Hellinger distance estimation. The results are investigated through simulation studies.
ISSN:1778-3569
1778-3569
DOI:10.5802/crmath.381