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math.PR2012
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…
math.ST2012
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…
math.PR2012
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…