6 papers
Consistency and asymptotic normality in a class of nearly unstable processes
Marie Badreau, Frédéric Proïa
This paper deals with inference in a class of stable but nearly-unstable processes. Autoregressive processes are considered, in which the bridge between stability and instability i…
Comments on the presence of serial correlation in the random coefficients of an autoregressive process
Frédéric Proïa, Marius Soltane
We consider an RCAR process and we establish that the standard estimation lacks consistency as soon as there exists a nonzero serial correlation in the coefficients. We give t…
A partial graphical model with a structural prior on the direct links between predictors and responses
Eunice Okome Obiang, Pascal Jézéquel, Frédéric Proïa
This paper is devoted to the estimation of a partial graphical model with a structural Bayesian penalization. Precisely, we are interested in the linear regression setting where th…
Moderate deviations in a class of stable but nearly unstable processes
Frédéric Proïa
We consider a stable but nearly unstable autoregressive process of any order. The bridge between stability and instability is expressed by a time-varying companion matrix w…
A test of correlation in the random coefficients of an autoregressive process
Frédéric Proïa, Marius Soltane
A random coefficient autoregressive process is deeply investigated in which the coefficients are correlated. First we look at the existence of a strictly stationary causal solution…
A SARIMAX coupled modelling applied to individual load curves intraday forecasting
Sophie Bercu, Frédéric Proïa
A dynamic coupled modelling is investigated to take temperature into account in the individual energy consumption forecasting. The objective is both to avoid the inherent complexit…