Hellinger distance estimation of SSAR models

DOI10.1016/S0167-7152(01)00086-4MaRDI QIDQ5952098zbMATH OpenOpenAlexFDO

Authors Ouagnina Hili

Publication date 7 April 2002

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(01)00086-4

zbMATH Keywords

asymptotic normalityconsistencyminimum Hellinger distance estimatessimultaneous switching autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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Cites work

• Cross-validation in density estimation
• scientific article; zbMATH DE number 3840941 (Why is no real title available?)
• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• scientific article; zbMATH DE number 48093 (Why is no real title available?)
• scientific article; zbMATH DE number 3444596 (Why is no real title available?)
• Minimum Hellinger distance estimates for parametric models
• Mixing: Properties and examples
• NONPARAMETRIC ESTIMATORS FOR TIME SERIES
• On the estimation of -ARCH models
• On the estimation of nonlinear time series models
• Propriétés de mélange des processus autorégressifs polynomiaux. (Mixing properties of polynomial autoregressive processes)
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL

Cited in

(4)

• Profile Hellinger distance estimation
• ON GOTT III'S DELTA t ARGUMENT : A GOOD TEST CREATING A BAD CONFIDENCE INTERVAL
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL
• ESTIMATION QUANTILES OF THE GUMBEL DISTRIBUTION BASED ON THE HELLINGER DISTANCE: APPLICATION OF DATA FROM L’ARDIÈRES STATION OF BEAUJEU (RHÔNE DEPARTMENT)

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