Related papers: A note on estimation of $\alpha$-stable CARMA proc…
The linear fractional stable motion generalizes two prominent classes of stochastic processes, namely stable L\'evy processes, and fractional Brownian motion. For this reason it may be regarded as a basic building block for continuous time…
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption that the errors are uncorrelated but not necessarily…
We examine the asymptotic behaviour of the sample autocovariance in a continuous-time moving average model with long-range dependence. We show that it is either asymptotically Rosenblatt distributed or stable distributed. This shows that…
The aim of this paper is to develop estimation and inference methods for the drift parameters of multivariate L\'evy-driven continuous-time autoregressive processes of order $p\in\mathbb{N}$. Starting from a continuous-time observation of…
The beta process has recently been widely used as a nonparametric prior for different models in machine learning, including latent feature models. In this paper, we prove the asymptotic consistency of the finite dimensional approximation of…
In this paper, we give a AR$(1)$ type of characterization covering all multivariate strictly stationary processes indexed by the set of integers. Consequently, we derive continuous time algebraic Riccati equations for the parameter matrix…
We present an outline of the theory of certain L\'evy-driven, multivariate stochastic processes, where the processes are represented by rational transfer functions (Continuous-time AutoRegressive Moving Average or CARMA models) and their…
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymptotic normality of the likelihood is proved with a…
In this paper, we propose a novel variable selection approach in the framework of sparse high-dimensional GLARMA models. It consists in combining the estimation of the autoregressive moving average (ARMA) coefficients of these models with…
Log-normal continuous random cascades form a class of multifractal processes that has already been successfully used in various fields. Several statistical issues related to this model are studied. We first make a quick but extensive review…
We study the estimation of a stable Cox-Ingersoll-Ross model, which is a special subcritical continuous-state branching process with immigration. The process is characterized in terms of some stochastic equations. The exponential ergodicity…
In this paper we introduce a new model named CARMA(p,q)-Hawkes process as the Hawkes model with exponential kernel implies a strictly decreasing behaviour of the autocorrelation function and empirically evidences reject the monotonicity…
In this paper, we study the quantization errors of modulo sigma-delta modulated finite, asymptotically-infinite, infinite causal stable ARMA processes. We prove that the normalized quantization error can be taken as a uniformly distributed…
Studying sample path behaviour of stochastic fields/processes is a classical research topic in probability theory and related areas such as fractal geometry. To this end, many methods have been developed since a long time in Gaussian…
For the Narain-Horvitz-Thompson estimator to have usual asymptotic properties such as consistency, some conditions on the sampling design and on the variable of interest are needed. Cardot et al. (2010) give some sufficient conditions for…
In this paper, we investigate quasi-maximum likelihood (QML) estimation for the parameters of a cointegrated solution of a continuous-time linear state space model observed at discrete time points. The class of cointegrated solutions of…
In this paper an easy to implement method of stochastically weighing short and long memory linear processes is introduced. The method renders asymptotically exact size confidence intervals for the population mean which are significantly…
Multivariate processes with long-range dependence properties can be encountered in many fields of application. Two fundamental characteristics in such frameworks are long-range dependence parameters and correlations between component time…
In this paper we present the asymptotic analysis of the realised quadratic variation for multivariate symmetric $\beta$-stable L\'evy processes, $\beta \in (0,2)$, and certain pure jump semimartingales. The main focus is on derivation of…
We consider the class of stationary-increment harmonizable stable processes with infinite control measure, which most notably includes real harmonizable fractional stable motions. We give conditions for the integrability of the paths of…