All submissions of the EM system will be redirected to Online Manuscript Submission System. Authors are requested to submit articles directly to Online Manuscript Submission System of respective journal.

Letter to Editor Open Access

Estimation of Long Memory Linear Processes

Abstract

This paper studies asymptotic properties of the minimum distance Hellinger estimates for a stationary ultivariate linear gaussien long range dependent process of the form , where is a sequence of strictly stationary d-dimensional associated random vectors with E(Zt)= 0 and and {Au} is a sequence of coefficient matrices with and . By means of the properties of the kernel density estimate, the minimum istance Hellinger of this class are shown to be consistent, asymptotically normal and robust.

Ichaou Mounirou

To read the full article Download Full Article | Visit Full Article