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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.ST2020
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…