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.
Accepted:
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Amine Amimour 1; Karima Belaide 1; Ouagnina Hili 2
@article{CRMATH_2022__360_G10_1153_0, 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}, }
TY - JOUR AU - Amine Amimour AU - Karima Belaide AU - Ouagnina Hili TI - Minimum Hellinger distance estimates for a periodically time-varying long memory parameter JO - Comptes Rendus. Mathématique PY - 2022 SP - 1153 EP - 1162 VL - 360 PB - Académie des sciences, Paris DO - 10.5802/crmath.381 LA - en ID - CRMATH_2022__360_G10_1153_0 ER -
%0 Journal Article %A Amine Amimour %A Karima Belaide %A Ouagnina Hili %T Minimum Hellinger distance estimates for a periodically time-varying long memory parameter %J Comptes Rendus. Mathématique %D 2022 %P 1153-1162 %V 360 %I Académie des sciences, Paris %R 10.5802/crmath.381 %G en %F CRMATH_2022__360_G10_1153_0
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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