Estimation of a stationary multivariate ARFIMA process

zbMath1409.62175MaRDI QIDQ1711518

Ouagnina Hili, Kévin Stanislas Mbeke

Publication date: 18 January 2019

Published in: Afrika Statistika (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.as/1544583712

zbMATH Keywords

estimationlong memoryminimum Hellinger distancestationary multivariate ARFIMA process

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (1)

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

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