Hellinger distance estimates of long memory linear processes

DOI10.1016/J.CRMA.2010.02.020zbMath1184.62148OpenAlexW2060834380MaRDI QIDQ964444

Ouagnina Hili, Armel Landry Bitty

Publication date: 15 April 2010

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.2010.02.020

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Related Items (3)

Estimation and asymptotic properties of a stationary univariate GARCH(\(p,q\)) process ⋮ Approximate minimum Hellinger distance estimation for diffusion processes using Euler's scheme ⋮ Hellinger distance estimation of stationary Gaussian strongly dependent processes

Cites Work

• Hellinger distance estimation of general bilinear time series models
• An efficient and robust adaptive estimator of location
• Minimum Hellinger distance estimates for parametric models
• On the estimation of \(\beta\)-ARCH models
• On the asymptotic expansion of the empirical process of long-memory moving averages
• Efficient robust estimates in parametric models
• On the estimation of nonlinear time series models
• Kernel density estimation for linear processes

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