1 citations · 4 across the 5 of their papers we have counts for
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math.ST2008★ 1 cited
Aggregation of autoregressive processes and long memory
Didier Dacunha-Castelle, Lisandro J. Fermín
We study the aggregation of AR processes and generalized Ornstein-Uhlenbeck (OU) processes. Mixture of spectral densities with random poles are the main tool. In this context, we a…
stat.AP2008★ 1 cited
Estimation of a diffusion model with trends taking in account the extremes. Application to temperature in France
Gregory Benmenzer, Didier Dacunha-Castelle, T. T. Huong Hoang
We built a model of the daily temperature based on a diffusion process and address to extreme values not taken into account in the literature on this kind of models. We first study…