Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
Statistics Theory
2020-11-24 v1 Statistics Theory
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.
Cite
@article{arxiv.2011.10880,
title = {Minimum Hellinger distance estimates for a periodically time-varying long memory parameter},
author = {Amine Amimour and Karima Belaide and Ouagnina Hili},
journal= {arXiv preprint arXiv:2011.10880},
year = {2020}
}