Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

Amine Amimour; Karima Belaide; Ouagnina Hili

doi:10.5802/crmath.381

Probabilités, Statistiques

Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

Amine Amimour ¹ ; Karima Belaide ¹ ; Ouagnina Hili ²

¹ Department of Mathematics, Applied Mathematics Laboratory, University of Bejaia, Bejaia Algeria
² Laboratory of Mathematics and New Technologies of Information, National Polytechnic Institute Felix HOUPHOUET-BOIGNY, Yamoussoukro, P.O. Box 1093, Ivory Coast

Comptes Rendus. Mathématique, Volume 360 (2022), pp. 1153-1162.

Résumé

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.

Reçu le : 2020-11-24
Accepté le : 2022-05-19
Publié le : 2022-10-04

DOI : 10.5802/crmath.381

Classification : 37M10, 62M10, 91B84

Affiliations des auteurs :

Amine Amimour ¹ ; Karima Belaide ¹ ; Ouagnina Hili ²

¹ Department of Mathematics, Applied Mathematics Laboratory, University of Bejaia, Bejaia Algeria
² Laboratory of Mathematics and New Technologies of Information, National Polytechnic Institute Felix HOUPHOUET-BOIGNY, Yamoussoukro, P.O. Box 1093, Ivory Coast

Licence :

CC-BY 4.0

Droits d'auteur : Les auteurs conservent leurs droits

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     author = {Amine Amimour and Karima Belaide and Ouagnina Hili},
     title = {Minimum {Hellinger} distance estimates for a periodically time-varying long memory parameter},
     journal = {Comptes Rendus. Math\'ematique},
     pages = {1153--1162},
     publisher = {Acad\'emie des sciences, Paris},
     volume = {360},
     year = {2022},
     doi = {10.5802/crmath.381},
     language = {en},
}

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Amine Amimour; Karima Belaide; Ouagnina Hili. Minimum Hellinger distance estimates for a periodically time-varying long memory parameter. Comptes Rendus. Mathématique, Volume 360 (2022), pp. 1153-1162. doi : 10.5802/crmath.381. https://comptes-rendus.academie-sciences.fr/mathematique/articles/10.5802/crmath.381/

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