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

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  • Soraya Haddad
  • Karima Belaide

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.

Suggested Citation

  • Soraya Haddad & Karima Belaide, 2020. "Local asymptotic normality for long-memory process with strong mixing noises," Communications in Statistics - Theory and Methods, Taylor & Francis Journals, vol. 49(12), pages 2817-2830, June.
    • Handle: RePEc:taf:lstaxx:v:49:y:2020:i:12:p:2817-2830
    DOI: 10.1080/03610926.2019.1584306
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