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arXiv · 2011.10880

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

Amine Amimour·Karima Belaide·Ouagnina Hili
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Abstract

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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Amine Amimour, Karima Belaide, Ouagnina Hili. 2020-11-21. Minimum Hellinger distance estimates for a periodically time-varying long memory parameter. https://arxiv.org/abs/2011.10880

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