alexa Estimation of Long Memory Linear Processes

Research & Reviews: Journal of Statistics and Mathematical Sciences
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Letter to Editor

Estimation of Long Memory Linear Processes

Ichaou Mounirou*

Faculty of Management and Economics Sciences, Université de Parakou, Benin

*Corresponding Author:
Ichaou Mounirou
Faculty of Management and Economics Sciences Université de Parakou, Benin
E-mail: [email protected]

Received date: 10/05/2016 Accepted date: 24/05/2016 Published date: 28/05/2016

 

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.

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