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20072011
most citedExponential inequalities for martingales and asymptotic properties of the free energy of directed polymers in random environment

70 citations

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stat.ME2010★ 1 cited

Adaptive estimation of vector autoregressive models with time-varying variance: application to testing linear causality in mean

Valentin Patilea, Hamdi Raïssi

Linear Vector AutoRegressive (VAR) models where the innovations could be unconditionally heteroscedastic and serially dependent are considered. The volatility structure is determin…