Hellinger distance estimation of general bilinear time series models

DOI10.1016/j.stamet.2007.06.005zbMath1248.62149OpenAlexW2068086927MaRDI QIDQ713820

Ouagnina Hili

Publication date: 19 October 2012

Published in: Statistical Methodology (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.stamet.2007.06.005

zbMATH Keywords

consistencyasymptotic normalitygeometric ergodicityexistence of moments

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items

ESTIMATION QUANTILES OF THE GUMBEL DISTRIBUTION BASED ON THE HELLINGER DISTANCE: APPLICATION OF DATA FROM L’ARDIÈRES STATION OF BEAUJEU (RHÔNE DEPARTMENT) ⋮ On periodic time-varying bilinear processes: structure and asymptotic inference ⋮ INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ Minimum distance estimation of Markov-switching bilinear processes ⋮ Hellinger distance estimation of stationary Gaussian strongly dependent processes ⋮ Hellinger distance estimates of long memory linear processes ⋮ Identification of stable elementary bilinear time-series model

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