Hellinger distance estimation of SSAR models

DOI10.1016/S0167-7152(01)00086-4zbMath0982.62076OpenAlexW2053334168MaRDI QIDQ5952098

Ouagnina Hili

Publication date: 7 April 2002

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-7152(01)00086-4

zbMATH Keywords

consistencyasymptotic normalityminimum Hellinger distance estimatessimultaneous switching autoregressive model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Economic time series analysis (91B84)

Related Items (1)

ESTIMATION QUANTILES OF THE GUMBEL DISTRIBUTION BASED ON THE HELLINGER DISTANCE: APPLICATION OF DATA FROM L’ARDIÈRES STATION OF BEAUJEU (RHÔNE DEPARTMENT)

Cites Work

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• Cross-validation in density estimation
• On the estimation of nonlinear time series models
• SOME PROPERTIES OF THE MAXIMUM LIKELIHOOD ESTIMATOR IN THE SIMULTANEOUS SWITCHING AUTOREGRESSIVE MODEL

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