Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Jacques Istas"'
Publikováno v:
Journal of Statistical Software, Vol 36, Iss 04 (2010)
To simulate fractional Brownian motion indexed by a manifold poses serious numerical problems: storage, computing time and choice of an appropriate grid. We propose an effective and fast method, valid not only for fractional Brownian fields indexed b
Externí odkaz:
https://doaj.org/article/6ba0f6fe770c414ca85600f34b4db7c5
Publikováno v:
Journal of Statistical Software, Vol 23, Iss 1 (2007)
To simulate Gaussian fields poses serious numerical problems: storage and computing time. The midpoint displacement method is often used for simulating the fractional Brownian fields because it is fast. We propose an effective and fast method, valid
Externí odkaz:
https://doaj.org/article/bf1ca8b72d494c228c538df1926474d4
Autor:
Thi To Nhu Dang, Jacques Istas
Publikováno v:
Electron. J. Statist. 11, no. 2 (2017), 4103-4150
Electronic Journal of Statistics
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2017, 11 (2), pp.4103-4150. ⟨10.1214/17-EJS1357⟩
Electronic Journal of Statistics, 2017, 11 (2), pp.4103-4150. ⟨10.1214/17-EJS1357⟩
Electronic Journal of Statistics
Electronic Journal of Statistics, Shaker Heights, OH : Institute of Mathematical Statistics, 2017, 11 (2), pp.4103-4150. ⟨10.1214/17-EJS1357⟩
Electronic Journal of Statistics, 2017, 11 (2), pp.4103-4150. ⟨10.1214/17-EJS1357⟩
In this paper we estimate both the Hurst and the stable indices of a H-self-similar stable process. More precisely, let $X$ be a $H$-sssi (self-similar stationary increments) symmetric $\alpha$-stable process. The process $X$ is observed at points $\
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::ea9428e7d3dbcdb9482be03fee240ccb
https://projecteuclid.org/euclid.ejs/1508810900
https://projecteuclid.org/euclid.ejs/1508810900
Publikováno v:
The R Journal
The R Journal, R Foundation for Statistical Computing, 2016, 8 (1), pp.38-47
The R Journal, 2016, 8 (1), pp.38-47
The R Journal, R Foundation for Statistical Computing, 2016, 8 (1), pp.38-47
The R Journal, 2016, 8 (1), pp.38-47
International audience; We propose an effective and fast method to simulate multidimensional conditional fractional Gaussian fields with the package FieldSim. Our method is valid not only for conditional simulations associated to fractional Brownian
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::9541fb32999ddf4d62b48d46b6264437
https://hal.archives-ouvertes.fr/hal-02271831
https://hal.archives-ouvertes.fr/hal-02271831
Autor:
Jacques Istas
Publikováno v:
Statistical Inference for Stochastic Processes
Statistical Inference for Stochastic Processes, Springer Verlag, 2007, 10 (1), pp.97-106. ⟨10.1007/s11203-006-0002-5⟩
Statistical Inference for Stochastic Processes, Springer Verlag, 2007, 10 (1), pp.97-106. ⟨10.1007/s11203-006-0002-5⟩
International audience; We perform the estimation of the anisotropical function of a Gaussian self-similar process with stationary increments.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::af27ea7a12d3d37de8cd2b445e238207
https://doi.org/10.1007/s11203-006-0002-5
https://doi.org/10.1007/s11203-006-0002-5
Autor:
Jacques Istas
Publikováno v:
Statistics and Probability Letters
Statistics and Probability Letters, Elsevier, 2006, 76 (4), pp.1578-1583. ⟨10.1016/j.spl.2006.03.019⟩
Statistics and Probability Letters, Elsevier, 2006, 76 (4), pp.1578-1583. ⟨10.1016/j.spl.2006.03.019⟩
International audience; We study the Karhunen–Loève expansion of the spherical fractional Brownian motion in terms of spherical harmonics.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fb7f3492a7cd2f7eb52623356d071b9a
https://doi.org/10.1016/j.spl.2006.03.019
https://doi.org/10.1016/j.spl.2006.03.019
Autor:
Serge Cohen, Jacques Istas
This book focuses mainly on fractional Brownian fields and their extensions. It has been used to teach graduate students at Grenoble and Toulouse's Universities. It is as self-contained as possible and contains numerous exercises, with solutions in a
Publikováno v:
Comptes Rendus Mathematique. 336:267-272
Let X be a locally self-similar stochastic process of index 0 H C H − e for all e >0. Then the Hausdorff dimension of the graph of X is a.s. 2− H . To cite this article: A. Benassi et al., C. R. Acad. Sci. Paris, Ser. I 336 (2003).
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::30c0095e566435415692195259c9e085
https://doi.org/10.1016/s1631-073x(03)00015-3
https://doi.org/10.1016/s1631-073x(03)00015-3
Publikováno v:
Statistics and Probability Letters
Statistics and Probability Letters, Elsevier, 2001, 53 (4), pp.435--447. ⟨10.1016/S0167-7152(00)00197-8⟩
Statistics and Probability Letters, Elsevier, 2001, 53 (4), pp.435--447. ⟨10.1016/S0167-7152(00)00197-8⟩
International audience; We obtain Cramèr–Rao bounds for parameters estimators of fractional Brownian motions. We point out the differences of behavior whether these processes are standard or not. The key-point of this study relies upon a linear al
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::0074f6cba47a759e14de59f08229d161
https://doi.org/10.1016/s0167-7152(00)00197-8
https://doi.org/10.1016/s0167-7152(00)00197-8
Publikováno v:
Statistical Inference for Stochastic Processes. 3:101-111
We propose a semi-parametric estimator for a piece-wise constant Hurst coefficient of a step fractional Brownian motion (SFBM). For the applications, we want to detect abrupt changes of the Hurst index (which represents long-range correlation) for a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::75be92f26de9f018e5f06c58095aaaed
https://doi.org/10.1023/a:1009997729317
https://doi.org/10.1023/a:1009997729317