Self-normalized large deviations for Markov chains.
Faure, Mathieu (2002)
Electronic Journal of Probability [electronic only]
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Faure, Mathieu (2002)
Electronic Journal of Probability [electronic only]
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Aggoun, L., Benkherouf, L., Tadj, L. (1997)
Journal of Applied Mathematics and Stochastic Analysis
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Bressaud, Xavier, Fernández, Roberto, Galves, Antonio (1999)
Electronic Journal of Probability [electronic only]
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Del Moral, P., Kouritzin, M.A., Miclo, L. (2001)
Electronic Journal of Probability [electronic only]
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Bernard Bercu, Fabrice Gamboa, Marc Lavielle (2000)
ESAIM: Probability and Statistics
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Donatas Surgailis, Marie-Claude Viano (2002)
ESAIM: Probability and Statistics
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The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular,...
Antoine Chambaz, Catherine Matias (2009)
ESAIM: Probability and Statistics
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This paper deals with order identification for Markov chains with Markov regime (MCMR) in the context of finite alphabets. We define the joint order of a MCMR process in terms of the number of states of the hidden Markov chain and the memory of the conditional Markov chain. We study the properties of penalized maximum likelihood estimators for the unknown order of an observed MCMR process, relying on information theoretic arguments. The novelty of our work relies in the joint...
Antoine Chambaz (2002)
ESAIM: Probability and Statistics
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This paper is devoted to the study of some asymptotic properties of a -estimator in a framework of detection of abrupt changes in random field’s distribution. This class of problems includes e.g. recovery of sets. It involves various techniques, including -estimation method, concentration inequalities, maximal inequalities for dependent random variables and -mixing. Penalization of the criterion function when the size of the true model is unknown is performed. All the results apply...
Dawson, Donald A., Greven, Andreas (1996)
Electronic Journal of Probability [electronic only]
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Pierre Del Moral, Laurent Miclo (2000)
Séminaire de probabilités de Strasbourg
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Jean Picard (1997)
ESAIM: Probability and Statistics
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Aggoun, Lakhdar, Benkherouf, Lakdere, Tadj, Lofti (1999)
Journal of Applied Mathematics and Stochastic Analysis
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