Volume no :50, Issue no: 1, March (2018)

Journal of Mathematical Sciences: Advances and Applications

MINIMUM HELLINGER DISTANCE ESTIMATION OF A STATIONARY MULTIVARIATE LONG MEMORY ARFIMA PROCESS

Author's: K. Stanislas Mbeke and Ouagnina Hili
Pages: [13] - [36]
Received Date: February 16, 2018; Revised March 15, 2018
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121930

Abstract

In this note, we determine the minimum Hellinger distance estimator (MHDE) of a stationary multivariate long memory ARFIMA (Auto regressive fractionally integrated moving average) process. We establish, under some assumptions, the almost sure convergence of the estimator and its asymptotic normality.

Keywords

minimum Hellinger distance, stationary multivariate ARFIMA process, estimation, long memory.