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Hellinger distance estimation of nonlinear dynamical systems

✍ Scribed by Ouagnina Hili

Publisher
Elsevier Science
Year
2003
Tongue
English
Weight
209 KB
Volume
63
Category
Article
ISSN
0167-7152

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✦ Synopsis

The present paper deals with the minimum Hellinger distance (MHD) parameter estimation of nonlinear dynamical systems with highly correlated residuals. In order to estimate the parameter of interest, we ΓΏt the residuals by an exponential autoregressive time-series model. Under some assumptions which ensure the stationarity, the existence of the moments of the stationary distribution and the strong mixing property of the ΓΏtted residuals, we establish the almost sure convergence and the asymptotic normality of the MHD estimates.

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