20 citations · 38 across the 17 of their papers we have counts for
5 papers · 1 filter
Efficient and Consistent Data-Driven Model Selection for Time Series
Jean-Marc Bardet, Kamila Kare, William Kengne
This paper studies the model selection problem in a large class of causal time series models, which includes both the ARMA or AR() processes, as well as the GARCH or ARCH($…
Epidemic change-point detection in general causal time series
Mamadou Lamine Diop, William Kengne
We consider an epidemic change-point detection in a large class of causal time series models, including among other processes, AR(), ARCH(), TARCH(), ARMA-G…
A general procedure for change-point detection in multivariate time series
Mamadou Lamine Diop, William Kengne
We consider the change-point detection in multivariate continuous and integer valued time series. We propose a Wald-type statistic based on the estimator performed by a general con…
Epidemic change-point detection in general integer-valued time series
Mamadou Lamine Diop, William Kengne
In this paper, we consider the structural change in a class of discrete valued time series, which the true conditional distribution of the observations is assumed to be unknown. Th…
Inference and model selection in general causal time series with exogenous covariates
Mamadou Lamine Diop, William Kengne
In this paper, we study a general class of causal processes with exogenous covariates, including many classical processes such as the ARMA-GARCH, APARCH, ARMAX, GARCH-X and APARCH-…