1 citations · 2 across the 5 of their papers we have counts for
5 papers
Adaptive estimation in regression models for weakly dependent data and explanatory variable with known density
Karine Bertin, Lisandro Fermin, Miguel Padrino
This article is dedicated to the estimation of the regression function when the explanatory variable is a weakly dependent process whose correlation coefficient exhibits exponentia…
Modeling Maximum drawdown Records with Piecewise Deterministic Markov Processe in Capital Markets
Rolando Rubilar-Torrealba, Lisandro Fermin, Soledad Torres
We propose to model the records of the maximum Drawdown in capital markets by means a Piecewise Deterministic Markov Process (PDMP). We derive statistical results such as the mean…
A Robbins Monro algorithm for nonparametric estimation of NAR process with Markov-Switching: consistency
Lisandro Fermín, Ricardo Ríos, Luis-Angel Rodríguez
We consider nonparametric estimation for functional autoregressive processes with Markov switching. First, we study the case where complete data is available; i.e. when we observe…
Aggregation of weakly dependent doubly stochastic processes
Lisandro J. Fermin
The aim of this paper is to extend the aggregation convergence results given in (Dacunha-Castelle and Fermin 2005, Dacunha-Castelle and Fermin 2008) to doubly stochastic linear and…
Disaggregation of Long Memory Processes on C^{\infty} Class
Didier Dacunha-Castelle, Lisandro Fermín
We prove that a large set of long memory (LM) processes (including classical LM processes and all processes whose spectral densities have a countable number of singularities contro…