51 citations · 141 across the 20 of their papers we have counts for
18 papers · 1 filter
Inference for continuous-time long memory randomly sampled processes
Mohamedou Ould Haye, Anne Philippe, Caroline Robet
From a continuous-time long memory stochastic process, a discrete-time randomly sampled one is drawn. We investigate the second-order properties of this process and establish some…
Shadow Simulated Annealing algorithm: a new tool for global optimisation and statistical inference
R. Stoica, Madalina Deaconu, Anne Philippe +1
This paper develops a new global optimisation method that applies to a family of criteria that are not entirely known. This family includes the criteria obtained from the class of…
Sample covariances of random-coefficient AR(1) panel model
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
The present paper obtains a complete description of the limit distributions of sample covariances in N x n panel data when N and n jointly increase, possibly at different rate. The…
Estimating long memory in panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytaute Pilipauskaite +1
It is well-known that random-coefficient AR(1) process can have long memory depending on the index of the tail distribution function of the random coefficient, if it is a regul…
Nonparametric estimation of the distribution of the autoregressive coefficient from panel random-coefficient AR(1) data
Remigijus Leipus, Anne Philippe, Vytautė Pilipauskaitė +1
We discuss nonparametric estimation of the distribution function of the autoregressive coefficient from a panel of random-coefficient AR(1) data, each of…
ABC Shadow algorithm: a tool for statistical analysis of spatial patterns
R. S. Stoica, A. Philippe, P. Gregori +1
This paper presents an original ABC algorithm, "ABC Shadow", that can be applied to sample posterior densities that are continuously differentiable. The proposed method uses the id…