Simulated Hellinger disparity estimation of a cyclical long memory process

MaRDI QIDQ5252447zbMATH OpenFDO

Authors Euloge F. Kouamé, Ouagnina Hili

Publication date 1 June 2015

Full work available at URL http://www.pphmj.com/abstract/8714.htm

zbMATH Keywords

GARMA processHellinger disparitykernel estimatorlong memory

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(2)

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• Simulated minimum Hellinger distance estimation of stochastic volatility models

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