Local asymptotic normality for a periodically time varying long memory parameter

DOI10.1080/03610926.2020.1784435MaRDI QIDQ5081036zbMATH OpenOpenAlexFDO

Authors Amine Amimour, Karima Belaide

Publication date 1 June 2022

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2020.1784435

zbMATH Keywords

fractionally processlocal asymptotic normalityPtvARFIMAsimulationtime-varying long-memory parameter

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(3)

• Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
• Adaptive test for periodic ARFIMA models
• Fractional periodic autoregression

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