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math.ST2015
Parametric inference of hidden discrete-time diffusion processes by deconvolution
Salima El Kolei, Florian Pelgrin
We study a new parametric approach for hidden discrete-time diffusion models. This method is based on contrast minimization and deconvolution and leads to estimate a large class of…
math.ST2015
Long-memory process and aggregation of AR(1) stochastic processes: A new characterization
Bernard Candelpergher, Michel Miniconi, Florian Pelgrin
Contemporaneous aggregation of individual AR(1) random processes might lead to different properties of the limit aggregated time series, in particular, long memory (Granger, 1980).…