255 citations · 297 across the 9 of their papers we have counts for
9 papers
Propagation of epistemic uncertainty in queueing models with unreliable server using chaos expansions
Katia Bachi, Cédric Chauvière, Hacène Djellout +1
In this paper, we develop a numerical approach based on Chaos expansions to analyze the sensitivity and the propagation of epistemic uncertainty through a queueing systems with bre…
Moderate deviations for bipower variation of general function and Hayashi-Yoshida estimators
Hacène Djellout, Arnaud Guillin, Hui Jiang +1
We consider the moderate deviations behaviors for two (co-) volatility estima-tors: generalised bipower variation, Hayashi-Yoshida estimator. The results are obtained by using a ne…
Large deviations of the Threshold estimator of integrated (co-)volatility vector in the presence of jumps
Hacène Djellout, Hui Jiang
Recently a considerable interest has been paid on the estimation problem of the realized volatility and covolatility by using high-frequency data of financial price processes in fi…
Large deviations of the realized (co-)volatility vector
Hacène Djellout, Arnaud Guillin, Yacouba Samoura
Realized statistics based on high frequency returns have become very popular in financial economics. In recent years, different non-parametric estimators of the variation of a log-…
Deviation inequalities and moderate deviations for estimators of parameters in bifurcating autoregressive models
Hacène Djellout, Valère Bitseki Penda
The purpose of this paper is to investigate the deviation inequalities and the moderate deviation principle of the least squares estimators of the unknown parameters of general …
Moderate deviations for the Durbin-Watson statistic related to the first-order autoregressive process
S. Valère Bitseki Penda, Hacène Djellout, Frédéric Proïa
The purpose of this paper is to investigate moderate deviations for the Durbin-Watson statistic associated with the stable first-order autoregressive process where the driven noise…