Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

11/21/2020

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We consider a purely fractionally deferenced process driven by a periodically time-varying long memory parameter. We will build an estimate for the vector parameters using the minimum Hellinger distance estimation. The results are investigated through simulation studies.

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Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

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Minimum Hellinger distance estimates for a periodically time-varying long memory parameter

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