Minimum Hellinger distance estimation of an ARFIMA process

DOI10.1016/J.CRMA.2012.07.005zbMath1336.62231OpenAlexW2058653612MaRDI QIDQ456641

Amadou Kamagate, Ouagnina Hili

Publication date: 16 October 2012

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2012.07.005

zbMATH Keywords

AutoRegressive Fractionally Integrated Moving Average (ARFIMA) processminimum Hellinger distance estimate

Mathematics Subject Classification ID

Density estimation (62G07) 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

Cites Work

• Unnamed Item
• Minimum distance estimation of stationary and non‐stationary ARFIMA processes
• Minimum Hellinger distance estimates for parametric models
• On the invertibility of fractionally differenced ARIMA processes
• On the estimation of nonlinear time series models
• Kernel density estimation for linear processes

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