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

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Showing 2021Show all

2 papers · 1 filter

math.ST2021

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( $\infty$ ) processes, as well as the GARCH or ARCH($…

math.ST2021

A new estimator for LARCH processes

Jean-Marc Bardet

The aim of this paper is to provide a new estimator of parameters for LARCH $(\infty)$ processes, and thus also for LARCH $(p)$ or GLARCH $(p, q)$ processes. This estimator results fro…