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5 papers · 2 filters
On the existence of some ARCH() processes
Randal Douc, François Roueff, Philippe Soulier
A new sufficient condition for the existence of a stationary causal solution of an ARCH() equation is provided. This condition allows to consider polynomially decaying coef…
Ranking the best instances
Stéphan Clémençon, Nicolas Vayatis
We formulate the local ranking problem in the framework of bipartite ranking where the goal is to focus on the best instances. We propose a methodology based on the construction of…
Sequential Monte Carlo smoothing with application to parameter estimation in non-linear state space models
Jimmy Olsson, Olivier Cappé, Randal Douc +1
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in th…
On recursive estimation for time varying autoregressive processes
Eric Moulines, Pierre Priouret, François Roueff
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are prov…
A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series
Eric Moulines, François Roueff, Murad S. Taqqu
We consider a time series with memory parameter . This time series is either stationary or can be made stationary after differencing a f…