Long-memory time series models with dependent innovations

Autor: Esstafa, Youssef

Publikováno v: Statistics [math.ST]. Université Bourgogne Franche-Comté, 2019. English. ⟨NNT : 2019UBFCD021⟩

We first consider, in this thesis, the problem of statistical analysis of FARIMA (Fractionally AutoRegressive Integrated Moving-Average) models endowed with uncorrelated but non-independent error terms. These models are called weak FARIMA and can be

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______212::409eb77d434af3cd78d400cb635ef78c
https://tel.archives-ouvertes.fr/tel-02548451/file/these_A_ESSTAFA_Youssef_2019.pdf

Behaviour of the least squares estimators of the linear model in a dependent context : Asymptotic properties, implementation, examples

Autor: Caron, Emmanuel

Publikováno v: General Mathematics [math.GM]. École centrale de Nantes, 2019. English. ⟨NNT : 2019ECDN0036⟩

In this thesis, we consider the usual linear regression model in the case where the error process is assumed strictly stationary.We use a result from Hannan (1973) who proved a Central Limit Theorem for the usual least squares estimator under general

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=od_______212::1c8b4e4eab514c152bb9937f0d318e66
https://tel.archives-ouvertes.fr/tel-02475758

Conditional least squares estimation in nonstationary nonlinear stochastic regression models

Autor: Christine Jacob

Publikováno v: Annals of Statistics
Annals of Statistics, Institute of Mathematical Statistics, 2010, 38 (1), pp.566-597. ⟨10.1214/09-AOS733⟩
Ann. Statist. 38, no. 1 (2010), 566-597

Let $\{Z_n\}$ be a real nonstationary stochastic process such that $E(Z_n|{\mathcaligr F}_{n-1})\stackrel{\mathrm{a.s.}}{
Comment: Published in at http://dx.doi.org/10.1214/09-AOS733 the Annals of Statistics (http://www.imstat.org/aos/) by the I

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::c3852af2c4c06a26069afd23ef6c5cd3
http://arxiv.org/abs/1001.2102

A new class of autoregressive models for integer-valued time series

Autor: Kachour, Maher

Publikováno v: Mathématiques [math]. Université Rennes 1, 2009. Français. ⟨NNT : ⟩
Mathématiques [math]. Université Rennes 1, 2009. Français

In many practical situations we deal with integer-valued time series. The analysis of such a time series present some difficulties, namely where the analysis is based on some stochastic models. These models must reflect the integer peculiarity of the

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::0496d2e0a10fa982bfbda7d38e246ddf
https://theses.hal.science/tel-00442146/file/maher-these.pdf

Estimation du paramètre de dérive d'une diffusion sous des conditions d'irrégularité de la dérive

Autor: Souchet, Sandie

Publikováno v: Comptes rendus de l'Académie des sciences. Série I, Mathématique
Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 1999, 329, pp.717-720

prépublication SAMOS n°108; National audience; We consider a diffusion model for which the drift b is Lipschitz continuous on R but its derivative is not continuous in ro. Our aim is to estimate this threshold parameter from discrete observations a

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::4bf999d2a5f3cc8110f5ca4561970739
https://hal.archives-ouvertes.fr/hal-00276902v2/document