Jean‐Marc Bardet

activity

20072025

most citedA wavelet analysis of the Rosenblatt process: chaos expansion and estimation of the self-similarity parameter

58 citations · 139 across the 28 of their papers we have counts for

collaborators

Showing 2016Show all

2 papers · 1 filter

math.ST2016

Semiparametric stationarity and fractional unit roots tests based on data-driven multidimensional increment ratio statistics

Jean-Marc Bardet, Béchir Dola

In this paper, we show that the central limit theorem (CLT) satisfied by the data-driven Multidimensional Increment Ratio (MIR) estimator of the memory parameter d established in B…

math.ST2016

Asymptotic behavior of the Laplacian quasi-maximum likelihood estimator of affine causal processes

Jean-Marc Bardet, Yakoub Boularouk, Khedidja Djaballah

We prove the consistency and asymptotic normality of the Laplacian Quasi-Maximum Likelihood Estimator (QMLE) for a general class of causal time series including ARMA, AR( $\infty$ ),…