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Minimum Hellinger distance estimates for a periodically time-varying long memory parameter
Published 21 Nov 2020 in math.ST and stat.TH | (2011.10880v1)
Abstract: 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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