63 citations · 110 across the 9 of their papers we have counts for
10 papers
Diagnostic Checking in Multivariate ARMA Models With Dependent Errors Using Normalized Residual Autocorrelations
Yacouba Boubacar Maïnassara, Bruno Saussereau
In this paper we derive the asymptotic distribution of normalized residual empirical autocovariances and autocorrelations under weak assumptions on the noise. We propose new portma…
Portmanteau test for a class of multivariate asymmetric power GARCH model
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
We establish the asymptotic behaviour of the sum of squared residuals autocovariances and autocorrelations for the class of multi-variate power transformed asymmetric models. We th…
Diagnostic checking in FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
This work considers the problem of modified portmanteau tests for testing the adequacy of FARIMA models under the assumption that the errors are uncorrelated but not necessarily in…
Estimating FARIMA models with uncorrelated but non-independent error terms
Yacouba Boubacar Maïnassara, Youssef Esstafa, Bruno Saussereau
In this paper we derive the asymptotic properties of the least squares estimator (LSE) of fractionally integrated autoregressive moving-average (FARIMA) models under the assumption…
Estimation of multivariate asymmetric power GARCH models
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that volatility models have to incorporate the so-called leverage effect in order to to model the dynamics of daily financial returns.We suggest a new cla…
Portmanteau test for the asymmetric power GARCH model when the power is unknown
Yacouba Boubacar Maïnassara, Othman Kadmiri, Bruno Saussereau
It is now widely accepted that, to model the dynamics of daily financial returns, volatility models have to incorporate the so-called leverage effect. We derive the asymptotic beha…
A new numerical scheme for the Zakaï equation
Bruno Saussereau
The aim of this paper is to propose a new method for numerical approximations of the solution of the linear stochastic partial differential equation arising in non-linear filtering…
Deviation probability bounds for fractional martingales and related remarks
Bruno Saussereau
In this paper we prove exponential inequalities (also called Bernstein's inequality) for fractional martingales. As an immediate corollary, we will discuss weak law of large number…
Transportation inequalities for stochastic differential equations driven by a fractional Brownian motion
Bruno Saussereau
We establish Talagrand's and inequalities for the law of the solution of a stochastic differential equation driven by a fractional Brownian motion with Hurst parameter…
Nonparametric inference for fractional diffusion
Bruno Saussereau
A non-parametric diffusion model with an additive fractional Brownian motion noise is considered in this work. The drift is a non-parametric function that will be estimated by two…