218 citations · 277 across the 8 of their papers we have counts for
8 papers
One-step corrected projected stochastic gradient descent for statistical estimation
Alexandre Brouste, Youssef Esstafa
A generic, fast and asymptotically efficient method for parametric estimation is described. It is based on the projected stochastic gradient descent on the log-likelihood function…
Fast calibration of weak FARIMA models
Samir Ben Hariz, Alexandre Brouste, Youssef Esstafa +1
In this paper, we investigate the asymptotic properties of Le Cam's one-step estimator for weak Fractionally AutoRegressive Integrated Moving-Average (FARIMA) models. For these mod…
Efficient estimation of stable Levy process with symmetric jumps
Alexandre Brouste, Hiroki Masuda
Efficient estimation of a non-Gaussian stable Levy process with drift and symmetric jumps observed at high frequency is considered. For this statistical experiment, the local asymp…
Local asymptotic normality property for fractional Gaussian noise under high-frequency observations
Alexandre Brouste, Masaaki Fukasawa
Local Asymptotic Normality (LAN) property for fractional Gaussian noise under high-frequency observations is proved with a non-diagonal rate matrix depending on the parameter to be…
Asymptotic properties of the MLE for the autoregressive process coefficients under stationary Gaussian noise
Alexandre Brouste, Chunhao Cai, Marina Kleptsyna
In this paper we are interested in the Maximum Likelihood Estimator (MLE) of the vector parameter of an autoregressive process of order with regular stationary Gaussian noise.…
Parameter estimation for the discretely observed fractional Ornstein-Uhlenbeck process and the Yuima R package
Alexandre Brouste, Stefano M. Iacus
This paper proposes consistent and asymptotically Gaussian estimators for the drift, the diffusion coefficient and the Hurst exponent of the discretely observed fractional Ornstein…