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6 papers · 1 filter
A Robbins Monro algorithm for nonparametric estimation of NAR process with Markov-Switching: consistency
Lisandro Fermín, Ricardo Ríos, Luis-Angel Rodríguez
We consider nonparametric estimation for functional autoregressive processes with Markov switching. First, we study the case where complete data is available; i.e. when we observe…
Estimating the scaling function of multifractal measures and multifractal random walks using ratios
Carenne Ludeña, Philippe Soulier
In this paper, we prove central limit theorems for bias reduced estimators of the structure function of several multifractal processes, namely mutiplicative cascades, multifractal…
Penalized estimate of the number of states in Gaussian linear AR with Markov regime
Ricardo Ríos, Luis-Angel Rodríguez
We deal with the estimation of the regime number in a linear Gaussian autoregressive process with a Markov regime (AR-MR). The problem of estimating the number of regimes in this t…
Uniform limit theorems for the integrated periodogram of weakly dependent time series and their applications to Whittle's estimate
Jean-Marc Bardet, Paul Doukhan, José Rafael León
We prove uniform convergence results for the integrated periodogram of a weakly dependent time series, namely a law of large numbers and a central limit theorem. These results are…
Estimation in autoregressive models with Markov regime
Ricardo Ríos, Luis Rodríguez
In this paper we derive the consistency of the penalized likelihood method for the number state of the hidden Markov chain in autoregressive models with Markov regimen. Using a SAE…
A Statistical view of Iterative Methods for Linear Inverse Problems
Ana K. Fermin, Carenne Ludena
In this article we study the problem of recovering the unknown solution of a linear ill-posed problem, via iterative regularization methods. We review the problem of projection-reg…