Minimum Hellinger distance estimation for nonstationary processes
1 : LERSTAD Universite Gaston Berger
(LERSTAD)
2 : Ecole Nationale de la Statistique et de l'Analyse Economique
(ENSAE)
-
Site web
BP 45512 Dakar Sénégal -
Sénégal
3 : INP-Félix Houphouët-Boigny
(INP-HB)
In this paper we are interested in the estimation of non stationarity processes by the
minimum Hellinger distance estimator in spectral framework. This dis-
tance is originally applied to probability distributions. We consider a nonstationary
process and we generalize the minimum Hellinger distance estimates method of sta-
tionary processes to processes that only show locally stationary behavior. Asymptotic
properties of the estimator are showed. The robustness of the estimator is investigated
through simulation study.
| Type : | : | oral |
| Thématiques | : | Séries temporelles 2 |
| Mots-Clés | : | Minimum Hellinger distance ; locally stationary processes ; spectral density |
| PDF version | : |  PDF version |
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