58 citations · 139 across the 28 of their papers we have counts for
28 papers · 1 filter
Quasi-Maximum Likelihood Estimation of long-memory linear processes
Jean-Marc Bardet, Yves Gael Tchabo Mbienkeu
The purpose of this paper is to study the convergence of the quasi-maximum likelihood (QML) estimator for long memory linear processes. We first establish a correspondence between…
Efficient and Consistent Data-Driven Model Selection for Time Series
Jean-Marc Bardet, Kamila Kare, William Kengne
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR() processes, as well as the GARCH or ARCH($…
A new estimator for LARCH processes
Jean-Marc Bardet
The aim of this paper is to provide a new estimator of parameters for LARCH processes, and thus also for LARCH or GLARCH processes. This estimator results fro…
Contrast estimation of general locally stationary processes using coupling
J. -M. Bardet, P. Doukhan, O. Wintenberger
This paper aims at providing statistical guarantees for a kernel based estimation of time varying parameters driving the dynamic of local stationary processes. We extend the result…
Consistent model selection criteria and goodness-of-fit test for affine causal processes
Jean-Marc Bardet, Kare Kamila, William Kengne
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR() processes, as well as the GARCH or ARCH($…
Data-driven semi-parametric detection of multiple changes in long-range dependent processes
Jean-Marc Bardet, Abdellatif Guenaizi
This paper is devoted to the offline multiple changes detection for long-range dependence processes. The observations are supposed to satisfy a semi-parametric long-range dependenc…