V. Reisen

activity

20072024

most citedRobust estimation in time series with long and short memory properties

6 citations · 9 across the 5 of their papers we have counts for

collaborators

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2 papers · 1 filter

math.ST2009

Asymptotic properties of U-processes under long-range dependence

Céline Lévy-Leduc, Hélène Boistard, Eric Moulines +2

Let $(X_{i})_{i \geq 1}$ be a stationary mean-zero Gaussian process with covariances $ρ(k)=\PE(X_{1}X_{k+1})$ satisfying: $ρ (0) = 1$ and $ρ (k) = k^{- D} L (k)$ where $D$ is in $(0, 1)$ and $…

math.ST2007

Log-average periodogram estimator of the memory parameter

Valderio Reisen, Eric Moulines, Philippe Soulier +1

This paper introduces a semiparametric regression estimator of the memory parameter for long-memory time series process. It is based on the regression in a neighborhood of the zero…