462 citations
- Télécom ParisFR42 papers
- Centre National de la Recherche ScientifiqueFR30 papers
- Institut national de recherche en sciences et technologies du numériqueFR6 papers
- Institut Mines-TélécomFR5 papers
- Laboratoire de Probabilités et Modèles AléatoiresFR5 papers
- Centre de Mathématiques Appliquées de l'École polytechniqueFR4 papers
- Université Paris CitéFR4 papers
- Université Paris Dauphine-PSLFR4 papers
- Université Paris NanterreFR4 papers
- Boston UniversityUS3 papers
- Centre de Recherche en Mathématiques de la DécisionFR3 papers
- Institut Polytechnique de ParisFR3 papers
Showing 2006 · math.STShow all
3 papers · 2 filters
math.ST2006★ 39 cited
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…
math.ST2006★ 165 cited
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…
math.ST2006★ 50 cited
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…