no. 19-20
Statistics
A new time domain estimation of k-factors GARMA processes
[Estimation du minimum de distance de Hellinger dans les processus GARMA à k facteurs]

Présenté par : the Editorial Board

Kouamé, Euloge F.1 ; Hili, Ouagnina2
1 University of Abobo-Adjamé, Abidjan, Cote dʼIvoire
2 Department of Mathematics and Informatics, National Polytechnic Institute Felix Houphouet-Boigny of Yamoussoukro, BP 1093, Yamoussoukro, Cote dʼIvoire
Comptes Rendus. Mathématique, Tome 350 (2012) no. 19-20, pp. 925-928.

Nous étudions le problème dʼestimation dans les séries temporelles fortement dépendantes. Nous considérons les processus Gegenbaeur autorégressifs à moyenne mobile (GARMA) à k facteurs pour les modéliser et nous estimons leurs paramètres par la méthode du minimum de distance de Hellinger. Nous établissons la consistance de lʼestimateur et la normalité asymptotique pour un certain choix de fenêtre de lissage.

We address the problem of parameter estimation of long memory time series. We consider k-factors Gegenbauer Autoregressive Moving Average (k-GARMA) processes and we estimate their parameters by the minimum Hellinger distance estimator. We establish the consistency of the estimator and the asymptotic normality for some bandwidth choice.

Reçu le :
Accepté le :
Publié le :
DOI : 10.1016/j.crma.2012.10.019
Kouamé, Euloge F. 1 ; Hili, Ouagnina 2

1 University of Abobo-Adjamé, Abidjan, Cote dʼIvoire
2 Department of Mathematics and Informatics, National Polytechnic Institute Felix Houphouet-Boigny of Yamoussoukro, BP 1093, Yamoussoukro, Cote dʼIvoire 
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Kouamé, Euloge F.; Hili, Ouagnina. A new time domain estimation of k-factors GARMA processes. Comptes Rendus. Mathématique, Tome 350 (2012) no. 19-20, pp. 925-928. doi : 10.1016/j.crma.2012.10.019. http://www.numdam.org/articles/10.1016/j.crma.2012.10.019/

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