Philippe Soulier

most citedOn the existence of some ARCH(

\infty

) processes

39 citations · 61 across the 3 of their papers we have counts for

collaborators

3 papers

math.ST2007

Long Memory in Nonlinear Processes

Rohit Deo, Meng-Chen Hsieh, Clifford M. Hurvich +1

It is generally accepted that many time series of practical interest exhibit strong dependence, i.e., long memory. For such series, the sample autocorrelations decay slowly and log…

math.ST2006★ 22 cited

Estimation of bivariate excess probabilities for elliptical models

Belkacem Abdous, Anne-Laure Fougères, Kilani Ghoudi +1

Let $(X, Y)$ be a random vector whose conditional excess probability $θ (x, y) := P (Y \leq y ∣ X > x)$ is of interest. Estimating this kind of probability is a delicate problem as soon as…

math.ST2006★ 39 cited

On the existence of some ARCH( $\infty$ ) processes

Randal Douc, François Roueff, Philippe Soulier

A new sufficient condition for the existence of a stationary causal solution of an ARCH( $\infty$ ) equation is provided. This condition allows to consider polynomially decaying coef…

Long Memory in Nonlinear Processes

Estimation of bivariate excess probabilities for elliptical models

On the existence of some ARCH(∞) processes

On the existence of some ARCH( $\infty$ ) processes