688 citations
- Centre de Recherche en Mathématiques de la DécisionFR62 papers
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6 papers · 1 filter
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Olivier Wintenberger
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the…
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…
Comments on "Confidence distribution, the frequentist distribution estimator of a parameter --- a review" by Min-ge Xie and Kesar Singh
Christian P. Robert
This note is a discussion of the paper "Confidence distribution" by Min-ge Xie and Kesar Singh, to appear in the International Statistical Review.
On the Grenander estimator at zero
Fadoua Balabdaoui, Hanna K. Jankowski, Marios Pavlides +2
We establish limit theory for the Grenander estimator of a monotone density near zero. In particular we consider the situation when the true density is unbounded at zero, wit…
Bounds for Bayesian order identification with application to mixtures
Antoine Chambaz, Judith Rousseau
The efficiency of two Bayesian order estimators is studied. By using nonparametric techniques, we prove new underestimation and overestimation bounds. The results apply to various…
A Kiefer--Wolfowitz theorem for convex densities
Fadoua Balabdaoui, Jon A. Wellner
Kiefer and Wolfowitz [Z. Wahrsch. Verw. Gebiete 34 (1976) 73--85] showed that if is a strictly curved concave distribution function (corresponding to a strictly monotone densit…