Zobrazeno 1 - 10
of 41
pro vyhledávání: '"Proia, Frederic"'
Autor:
Badreau, Marie, Proïa, Frédéric
This paper deals with unit root issues in time series analysis. It has been known for a long time that unit root tests may be flawed when a series although stationary has a root close to unity. That motivated recent papers dedicated to autoregressive
Externí odkaz:
http://arxiv.org/abs/2310.13444
Autor:
Badreau, Marie, Proïa, Frédéric
This paper deals with inference in a class of stable but nearly-unstable processes. Autoregressive processes are considered, in which the bridge between stability and instability is expressed by a time-varying companion matrix $A_{n}$ with spectral r
Externí odkaz:
http://arxiv.org/abs/2211.03385
We explore various Bayesian approaches to estimate partial Gaussian graphical models. Our hierarchical structures enable to deal with single-output as well as multiple-output linear regressions, in small or high dimension, enforcing either no sparsit
Externí odkaz:
http://arxiv.org/abs/2105.10888
Autor:
Proïa, Frédéric, Soltane, Marius
We consider an RCAR$(p)$ process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give the correct asymptotic behavior and some simulations come to illustrate
Externí odkaz:
http://arxiv.org/abs/2005.13951
This paper is devoted to the estimation of a partial graphical model with a structural Bayesian penalization. Precisely, we are interested in the linear regression setting where the estimation is made through the direct links between potentially high
Externí odkaz:
http://arxiv.org/abs/2003.11869
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Autor:
Proïa, Frédéric
We consider a stable but nearly unstable autoregressive process of any order. The bridge between stability and instability is expressed by a time-varying companion matrix $A_{n}$ with spectral radius $\rho(A_{n}) < 1$ satisfying $\rho(A_{n}) \rightar
Externí odkaz:
http://arxiv.org/abs/1905.02618
A probabilistic reconstruction of genealogies in a polyploid population (from 2x to 4x) is investigated, by considering genetic data analyzed as the probability of allele presence in a given genotype. Based on the likelihood of all possible crossbree
Externí odkaz:
http://arxiv.org/abs/1804.04853
We investigate in this paper a Bickel-Rosenblatt test of goodness-of-fit for the density of the noise in an autoregressive model. Since the seminal work of Bickel and Rosenblatt, it is well-known that the integrated squared error of the Parzen-Rosenb
Externí odkaz:
http://arxiv.org/abs/1706.09811
Autor:
Proïa, Frédéric, Soltane, Marius
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution, we give the second-order stationarity conditions and the autocorrela
Externí odkaz:
http://arxiv.org/abs/1606.06772