105 citations · 309 across the 37 of their papers we have counts for
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math.PR2011
Sharp large deviations for the non-stationary Ornstein-Uhlenbeck process
Bernard Bercu, Laure Coutin, Nicolas Savy
For the Ornstein-Uhlenbeck process, the asymptotic behavior of the maximum likelihood estimator of the drift parameter is totally different in the stable, unstable, and explosive c…
math.ST2011
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Bernard Bercu, Frederic Proia
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process…
math.ST2011★ 14 cited
A Robbins-Monro procedure for estimation in semiparametric regression models
Bernard Bercu, Philippe Fraysse
This paper is devoted to the parametric estimation of a shift together with the nonparametric estimation of a regression function in a semiparametric regression model. We implement…