Comptes Rendus
Probability theory, Statistics
Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
Comptes Rendus. Mathématique, Volume 360 (2022), pp. 1153-1162.

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.

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Accepted:
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DOI: 10.5802/crmath.381
Classification: 37M10, 62M10, 91B84
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
License: CC-BY 4.0
Copyrights: The authors retain unrestricted copyrights and publishing rights
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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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