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

DOI10.5802/CRMATH.381MaRDI QIDQ2080960zbMATH OpenOpenAlexFDO

Authors Amine Amimour, Karima Belaide, Ouagnina Hili

Publication date 12 October 2022

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

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2011.10880

zbMATH Keywords

Hellinger distance estimationsimulations

Mathematics Subject Classification ID

Simulation of dynamical systems (37M05) Time series analysis of dynamical systems (37M10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Abstract: 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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Cited in

(5)

• Minimum Hellinger distance estimation for locally stationary processes
• Simulated Hellinger disparity estimation of a cyclical long memory process
• Hellinger distance estimation for nonregular spectra
• Adaptive test for periodic ARFIMA models
• Hellinger distance estimates of long memory linear processes

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