Minimum Hellinger distance estimation of an ARFIMA process

DOI10.1016/J.CRMA.2012.07.005MaRDI QIDQ456641zbMATH OpenOpenAlexFDO

Authors Amadou Kamagate, Ouagnina Hili

Publication date 16 October 2012

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.crma.2012.07.005

zbMATH Keywords

AutoRegressive Fractionally Integrated Moving Average (ARFIMA) processminimum Hellinger distance estimate

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• Minimum distance estimation of ARFIMA processes
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Minimum distance estimation in AR(1)-processes
• scientific article; zbMATH DE number 474566
• Minimum Hellinger distance estimation of multivariate GARCH processes
• Minimum Hellinger distance estimation for locally stationary processes
• Computation of Certain Minimum Distance Estimators in AR[k] Model
• A minimum Hellinger distance estimator for stochastic differential equations: an application to statistical inference for continuous time interest rate models

Cites work

• scientific article; zbMATH DE number 3862231 (Why is no real title available?)
• Kernel density estimation for linear processes
• Minimum Hellinger distance estimates for parametric models
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• On the estimation of nonlinear time series models
• On the invertibility of fractionally differenced ARIMA processes

Cited in

(7)

• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• scientific article; zbMATH DE number 474566 (Why is no real title available?)
• Hellinger distance estimates of long memory linear processes
• Minimum Hellinger distance estimation for locally stationary processes
• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• Minimum distance estimation of ARFIMA processes
• Estimation of a stationary multivariate ARFIMA process

This page was built for publication: Minimum Hellinger distance estimation of an ARFIMA process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q456641)