摘要 :
We address the problem of parameter estimation of long memory time series. We consider k-factors Gegenbauer Autoregressive Moving Average (k-GARMA) processes and we estimate their parameters by the minimum Hellinger distance estim...
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We address the problem of parameter estimation of long memory time series. We consider k-factors Gegenbauer Autoregressive Moving Average (k-GARMA) processes and we estimate their parameters by the minimum Hellinger distance estimator. We establish the consistency of the estimator and the asymptotic normality for some bandwidth choice.
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