10 papers
Estimating weak Markov-switching AR(1) models
Yacouba Boubacar Mainassara, Landy Rabehasaina, Armel Bra
In this paper, we present the asymptotic properties of the moment estimator for autoregressive (AR for short) models subject to Markovian changes in regime under the assumption tha…
Estimation of subcritical Galton Watson processes with correlated immigration
Yacouba Boubacar Mainassara, Landy Rabehasaina
We consider an observed subcritical Galton Watson process with correlated stationary immigration process . Two situations a…
An SDP dual relaxation for the Robust Shortest Path Problem with ellipsoidal uncertainty: Pierra's decomposition method and a new primal Frank-Wolfe-type heuristics for duality gap evaluation
Chifaa Al Dahik, Zeina Al Masry, Stéphane Chrétien +2
This work addresses the Robust counterpart of the Shortest Path Problem (RSPP) with a correlated uncertainty set. Since this problem is hard, a heuristic approach, based on Frank-W…
Multitype branching process with nonhomogeneous Poisson and generalized Polya immigration
Landy Rabehasaina, Jae-Kyung Woo
In a multitype branching process, it is assumed that immigrants arrive according to a nonhomogeneous Poisson or a generalized Polya process (both processes are formulated as a nonh…
Asymptotics for infinite server queues with fast/slow Markov switching and fat tailed service times
Landy Rabehasaina
We study a general dimensional infinite server queues process with Markov switching, Poisson arrivals and where the service times are fat tailed with index . When t…
Analysis of the infinite server queues with semi-Markovian multivariate discounted inputs
Landy Rabehasaina, Jae-Kyung Woo
We consider a general dimensional discounted infinite server queues process (alternatively, an Incurred But Not Reported (IBNR) claim process) where the multivariate inputs (cl…
Estimation of weak ARMA models with regime changes
Yacouba Boubacar Maïnassara, Landy Rabehasaina
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of autoregressive moving-average (ARMA) models with regime changes under the assumption that…
Asymptotic Correlation Structure of Discounted Incurred But Not Reported Claims under Fractional Poisson Arrival Process
Eric Cheung, Landy Rabehasaina, Jae-Kyung Woo +1
This paper studies the joint moments of a compound discounted renewal process observed at different times with each arrival removed from the system after a random delay. This proce…
High order expansions for renewal functions and applications to ruin theory
Clément Dombry, Landy Rabehasaina
A high order expansion of the renewal function is provided under the assumption that the inter-renewal time distribution is light tailed with finite moment generating function g on…
Passage times of perturbed subordinators with application to reliability
Christian Paroissin, Landy Rabehasaina
We consider a wide class of increasing Lévy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation mode…