488 citations · 3k across the 119 of their papers we have counts for
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math.ST2006★ 165 cited
Sequential Monte Carlo smoothing with application to parameter estimation in non-linear state space models
Jimmy Olsson, Olivier Cappé, Randal Douc +1
This paper concerns the use of sequential Monte Carlo methods (SMC) for smoothing in general state space models. A well-known problem when applying the standard SMC technique in th…
math.ST2006★ 50 cited
On recursive estimation for time varying autoregressive processes
Eric Moulines, Pierre Priouret, François Roueff
This paper focuses on recursive estimation of time varying autoregressive processes in a nonparametric setting. The stability of the model is revisited and uniform results are prov…
math.ST2006★ 55 cited
A Wavelet Whittle estimator of the memory parameter of a non-stationary Gaussian time series
Eric Moulines, François Roueff, Murad S. Taqqu
We consider a time series with memory parameter . This time series is either stationary or can be made stationary after differencing a f…