Volume no :49, Issue no: 1, January (2018)

Journal of Mathematical Sciences: Advances and Applications

MINIMUM HELLINGER DISTANCE ESTIMATES OF LONG-RANGE DEPENDENCE GAUSSIAN PROCESSES

Author's: A. Y. N’dri and O. Hili
Pages: [59] - [79]
Received Date: January 30, 2018; Revised February 21, 2018
Submitted by:
DOI: http://dx.doi.org/10.18642/jmsaa_7100121926

Abstract

In the present paper, we propose a new method to determine the minimum Hellinger distance estimator of stationary Gaussian univariate processes with long-range dependence. Under some assumptions which ensure some probabilistic properties, we establish strong consistency and asymptotic distribution properties of this estimator.

Keywords

asymptotic properties, long-range dependence, Hellinger distance estimation, Hermite polynomials.