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

Amimour, Amine; Belaide, Karima; Hili, Ouagnina

doi:10.5802/crmath.381

Comptes Rendus. Mathématique (Oct 2022)

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

Amimour, Amine,
Belaide, Karima,
Hili, Ouagnina

Affiliations

Amimour, Amine: Department of Mathematics, Applied Mathematics Laboratory, University of Bejaia, Bejaia Algeria
Belaide, Karima: Department of Mathematics, Applied Mathematics Laboratory, University of Bejaia, Bejaia Algeria
Hili, Ouagnina: Laboratory of Mathematics and New Technologies of Information, National Polytechnic Institute Felix HOUPHOUET-BOIGNY, Yamoussoukro, P.O. Box 1093, Ivory Coast

DOI: https://doi.org/10.5802/crmath.381
Journal volume & issue: Vol. 360, no. G10
pp. 1153 – 1162

Abstract

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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.

Published in Comptes Rendus. Mathématique

ISSN: 1778-3569 (Online)
Publisher: Académie des sciences
Country of publisher: France
LCC subjects: Science: Mathematics
Website: https://comptes-rendus.academie-sciences.fr/mathematique/

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