no. G10
Probabilités, Statistiques
Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
Amimour, Amine1  ; Belaide, Karima1 ; Hili, Ouagnina2
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, Tome 360 (2022) no. G10, 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.

Reçu le :
Accepté le :
Publié le :
DOI : 10.5802/crmath.381
Classification : 37M10, 62M10, 91B84
Amimour, Amine 1 ; Belaide, Karima 1 ; Hili, Ouagnina 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 
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Amimour, Amine; Belaide, Karima; Hili, Ouagnina. Minimum Hellinger distance estimates for a periodically time-varying long memory parameter. Comptes Rendus. Mathématique, Tome 360 (2022) no. G10, pp. 1153-1162. doi : 10.5802/crmath.381. http://www.numdam.org/articles/10.5802/crmath.381/

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