Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
نویسندگان
چکیده
We consider a purely fractionally deferenced process driven by periodically time-varying long memory parameter. will build an estimate for the vector parameters using minimum Hellinger distance estimation. The results are investigated through simulation studies.
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ژورنال
عنوان ژورنال: Comptes Rendus Mathematique
سال: 2022
ISSN: ['1631-073X', '1778-3569']
DOI: https://doi.org/10.5802/crmath.381