2 papers
stat.ME2019
Mixture of hidden Markov models for accelerometer data
Marie du Roy de Chaumaray, Matthieu Marbac, Fabien Navarro
Motivated by the analysis of accelerometer data, we introduce a specific finite mixture of hidden Markov models with particular characteristics that adapt well to the specific natu…
math.PR2018
Sharp large deviations for the drift parameter of the explosive Cox-Ingersoll-Ross process
marie du Roy de Chaumaray
We consider a non-stationary Cox-Ingersoll-Ross process. We establish a sharp large deviation principle for the maximum likelihood estimator of its drift parameter.