In this Note, we determine the minimum Hellinger distance estimate of an ARFIMA (AutoRegressive Fractionally Integrated Moving Average) process. The estimate minimizes the Hellinger distance between the probability density function of the innovation of the process and a parameterized random function. Under some assumptions, we establish the asymptotic properties of this estimate.
Dans cette Note, nous définissons lʼestimateur du minimum de distance de Hellinger dʼun processus ARFIMA (AutoRegressive Fractionally Integrated Moving Average). Lʼestimateur minimise la distance de Hellinger entre la fonction de densité de probabilité de lʼinnovation du processus et une fonction aléatoire paramétrée. Sous certaines conditions, nous établissons les propriétés asymptotiques de cet estimateur.
Accepted:
Published online:
Amadou Kamagate 1, 2; Ouagnina Hili 2
@article{CRMATH_2012__350_13-14_721_0, author = {Amadou Kamagate and Ouagnina Hili}, title = {Estimation par le minimum de distance de {Hellinger} d'un processus {ARFIMA}}, journal = {Comptes Rendus. Math\'ematique}, pages = {721--725}, publisher = {Elsevier}, volume = {350}, number = {13-14}, year = {2012}, doi = {10.1016/j.crma.2012.07.005}, language = {fr}, }
TY - JOUR AU - Amadou Kamagate AU - Ouagnina Hili TI - Estimation par le minimum de distance de Hellinger dʼun processus ARFIMA JO - Comptes Rendus. Mathématique PY - 2012 SP - 721 EP - 725 VL - 350 IS - 13-14 PB - Elsevier DO - 10.1016/j.crma.2012.07.005 LA - fr ID - CRMATH_2012__350_13-14_721_0 ER -
Amadou Kamagate; Ouagnina Hili. Estimation par le minimum de distance de Hellinger dʼun processus ARFIMA. Comptes Rendus. Mathématique, Volume 350 (2012) no. 13-14, pp. 721-725. doi : 10.1016/j.crma.2012.07.005. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2012.07.005/
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