6 papers
A Bayesian approach for partial Gaussian graphical models with sparsity
Eunice Okome Obiang, Pascal Jézéquel, Frédéric Proïa
We explore various Bayesian approaches to estimate partial Gaussian graphical models. Our hierarchical structures enable to deal with single-output as well as multiple-output linea…
Testing for residual correlation of any order in the autoregressive process
Frédéric Proïa
We are interested in the implications of a linearly autocorrelated driven noise on the asymptotic behavior of the usual least squares estimator in a stable autoregressive process.…
On Ornstein-Uhlenbeck driven by Ornstein-Uhlenbeck processes
Bernard Bercu, Frederic Proia, Nicolas Savy
We investigate the asymptotic behavior of the maximum likelihood estimators of the unknown parameters of positive recurrent Ornstein-Uhlenbeck processes driven by Ornstein-Uhlenbec…
Further results on the H-Test of Durbin for stable autoregressive processes
Frédéric Proïa
The purpose of this paper is to investigate the asymptotic behavior of the Durbin-Watson statistic for the stable order autoregressive process when the driven noise is given by…
Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
S. Valère Bitseki Penda, Hacène Djellout, Frédéric Proïa
The purpose of this paper is to investigate moderate deviations for the Durbin-Watson statistic associated with the stable first-order autoregressive process where the driven noise…
A sharp analysis on the asymptotic behavior of the Durbin-Watson statistic for the first-order autoregressive process
Bernard Bercu, Frederic Proia
The purpose of this paper is to provide a sharp analysis on the asymptotic behavior of the Durbin-Watson statistic. We focus our attention on the first-order autoregressive process…