Local asymptotic normality for long-memory process with strong mixing noises

Soraya Haddad and Karima Belaide

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 12, 2817-2830

Abstract: We will establish the local asymptotic normality (LAN) for fractional autoregressive long memory model in the case of strong mixing noises. This opens the way in future work to construct an adaptive estimator and construct optimal tests for the parameters. To check the feasibility and validity of our theoretical results a simulations study is considered.

Date: 2020
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DOI: 10.1080/03610926.2019.1584306

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