58 citations · 139 across the 28 of their papers we have counts for
4 papers · 2 filters
Adaptive semiparametric wavelet estimator and goodness-of-fit test for long memory linear processes
Jean-Marc Bardet, Hatem Bibi
This paper is first devoted to study an adaptive wavelet based estimator of the long memory parameter for linear processes in a general semi-parametric frame. This is an extension…
Nonparametric estimation of the local Hurst function of multifractional Gaussian processes
Jean-Marc Bardet, Donatas Surgailis
A new nonparametric estimator of the local Hurst function of a multifractional Gaussian process based on the increment ratio (IR) statistic is defined. In a general frame, the poin…
Adaptive estimator of the memory parameter and goodness-of-fit test using a multidimensional increment ratio statistic
Jean-Marc Bardet, Béchir Dola
The increment ratio (IR) statistic was first defined and studied in Surgailis {\it et al.} (2007) for estimating the memory parameter either of a stationary or an increment station…
Detecting multiple change-points in general causal time series using penalized quasi-likelihood
Jean-Marc Bardet, William Chakry Kengne, Olivier Wintenberger
This paper is devoted to the off-line multiple change-point detection in a semiparametric framework. The time series is supposed to belong to a large class of models including AR($…