4 papers
Fast calibration of weak FARIMA models
Samir Ben Hariz, Alexandre Brouste, Youssef Esstafa +1
In this paper, we investigate the asymptotic properties of Le Cam's one-step estimator for weak Fractionally AutoRegressive Integrated Moving-Average (FARIMA) models. For these mod…
Comments on the presence of serial correlation in the random coefficients of an autoregressive process
Frédéric Proïa, Marius Soltane
We consider an RCAR process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give t…
Asymptotic efficiency in the Autoregressive process driven by a stationary Gaussian noise
Marius Soltane
The first purpose of this article is to obtain a.s. asymptotic properties of the maximum likelihood estimator in the autoregressive process driven by a stationary Gaussian noise. T…
A test of correlation in the random coefficients of an autoregressive process
Frédéric Proïa, Marius Soltane
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution…