3 papers
math.ST2020
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…
math.ST2019
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…
stat.AP2012
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…