Hellinger Distance Estimation of Strongly Dependent Multi-Dimensional Gaussian Processes

Aubin N’dri, Ouagnina Hili

Abstract


In the present paper we determine the minimum Hellinger distance estimator of stationary Gaussian multi-dimensional processes with long-range dependence. Under some assumptions which ensure some probabilistic properties, we establish the asymptotic properties of this estimator.

Full Text: PDF DOI: 10.5539/ijsp.v2n3p70

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International Journal of Statistics and Probability   ISSN 1927-7032(Print)   ISSN 1927-7040(Online)

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