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

11/21/2020 ∙ by Amine Amimour, et al. ∙ 0 ∙ share

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.

READ FULL TEXT

A new time-varying model for forecasting long-memory series

In this work we propose a new class of long-memory models with time-vary...
12/18/2018 ∙ by Luisa Bisaglia, et al. ∙ 0 ∙ share

read it
A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application

Multivariate dynamic time series models are widely encountered in practi...
10/04/2020 ∙ by Yayi Yan, et al. ∙ 0 ∙ share

read it
Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

This paper proposes a parsimoniously time varying parameter vector autor...
11/04/2014 ∙ by Laurent Callot, et al. ∙ 0 ∙ share

read it
Global sensitivity analysis informed model reduction and selection applied to a Valsalva maneuver model

In this study, we develop a methodology for model reduction and selectio...
05/26/2020 ∙ by E. Benjamin Randall, et al. ∙ 0 ∙ share

read it
Parameter Estimation in Adaptive Control of Time-Varying Systems Under a Range of Excitation Conditions

This paper presents a new parameter estimation algorithm for the adaptiv...
11/10/2019 ∙ by Joseph E. Gaudio, et al. ∙ 0 ∙ share

read it
On the numerical solution of stochastic oscillators driven by time-varying and random forces

In this work, we provide a specifc trigonometric stochastic numerical me...
01/09/2021 ∙ by Raffaele D'Ambrosio, et al. ∙ 0 ∙ share

read it
Estimation of seasonal long-memory parameters

This paper studies seasonal long-memory processes with Gegenbauer-type s...
05/30/2018 ∙ by Huda Mohammed Alomari, et al. ∙ 0 ∙ share

read it

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

Authors

A new time-varying model for forecasting long-memory series

A Class of Time-Varying Vector Moving Average Models: Nonparametric Kernel Estimation and Application

Vector Autoregressions with Parsimoniously Time Varying Parameters and an Application to Monetary Policy

Global sensitivity analysis informed model reduction and selection applied to a Valsalva maneuver model

Parameter Estimation in Adaptive Control of Time-Varying Systems Under a Range of Excitation Conditions

On the numerical solution of stochastic oscillators driven by time-varying and random forces

Estimation of seasonal long-memory parameters

This week in AI