73 citations · 246 across the 15 of their papers we have counts for
12 papers · 1 filter
Spectral estimation for non-linear long range dependent discrete time trawl processes
Paul Doukhan, François Roueff, Joseph Rynkiewicz
Discrete time trawl processes constitute a large class of time series parameterized by a trawl sequence (a j) jN and defined though a sequence of independent and identically d…
The -Divergence Expectation Iteration Scheme
Kamélia Daudel, Randal Douc, François Portier +1
This paper introduces the -EI algorithm, a novel iterative algorithm which operates on measures and performs -divergence minimisation in a Bayesian framework. We prove t…
Linear Fractional Stable Sheets: wavelet expansion and sample path properties
Antoine Ayache, François Roueff, Yimin Xiao
In this paper we give a detailed description of the random wavelet series representation of real-valued linear fractional stable sheet introduced in Ayache, Roueff and Xiao (2007).…
Central Limit Theorems for arrays of decimated linear processes
François Roueff, Murad S. Taqqu
Linear processes are defined as a discrete-time convolution between a kernel and an infinite sequence of i.i.d. random variables. We modify this convolution by introducing decimati…
Asymptotic normality of wavelet estimators of the memory parameter for linear processes
François Roueff, Murad S. Taqqu
We consider linear processes, not necessarily Gaussian, with long, short or negative memory. The memory parameter is estimated semi-parametrically using wavelets from a sample $X_1…
Estimators of Long-Memory: Fourier versus Wavelets
Gilles Fay, Eric Moulines, François Roueff +1
There have been a number of papers written on semi-parametric estimation methods of the long-memory exponent of a time series, some applied, others theoretical. Some using Fourier…