Comptes Rendus
Statistics
A new time domain estimation of k-factors GARMA processes
Comptes Rendus. Mathématique, Volume 350 (2012) no. 19-20, pp. 925-928.

We address the problem of parameter estimation of long memory time series. We consider k-factors Gegenbauer Autoregressive Moving Average (k-GARMA) processes and we estimate their parameters by the minimum Hellinger distance estimator. We establish the consistency of the estimator and the asymptotic normality for some bandwidth choice.

Nous étudions le problème dʼestimation dans les séries temporelles fortement dépendantes. Nous considérons les processus Gegenbaeur autorégressifs à moyenne mobile (GARMA) à k facteurs pour les modéliser et nous estimons leurs paramètres par la méthode du minimum de distance de Hellinger. Nous établissons la consistance de lʼestimateur et la normalité asymptotique pour un certain choix de fenêtre de lissage.

Received:
Accepted:
Published online:
DOI: 10.1016/j.crma.2012.10.019

Euloge F. Kouamé 1; Ouagnina Hili 2

1 University of Abobo-Adjamé, Abidjan, Cote dʼIvoire
2 Department of Mathematics and Informatics, National Polytechnic Institute Felix Houphouet-Boigny of Yamoussoukro, BP 1093, Yamoussoukro, Cote dʼIvoire
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Euloge F. Kouamé; Ouagnina Hili. A new time domain estimation of k-factors GARMA processes. Comptes Rendus. Mathématique, Volume 350 (2012) no. 19-20, pp. 925-928. doi : 10.1016/j.crma.2012.10.019. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.1016/j.crma.2012.10.019/

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