404 citations
- Instituto Venezolano de Investigaciones CientíficasVE6 papers
- Laboratório Nacional de Computação CientíficaBR5 papers
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math.ST2008★ 8 cited
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…
math.ST2007
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…