On a minimum distance estimate of the period in functional autoregressive processes

Wafaa Benyelles and Tahar Mourid

Journal of Applied Statistics, 2012, vol. 39, issue 8, 1703-1718

Abstract: We consider a continuous time random process with functional autoregressive representation. We state statistical results on a mean functional estimator determining a minimum distance estimator of the period giving consistency and a limit law stated in Mourid and Benyelles [13]. Then we discuss their performance on numerical simulations and on real data analyzing the cycle of a climatic phenomena.

Date: 2012
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DOI: 10.1080/02664763.2012.668178

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