Study on Kalman filter in time series analysis
Subspace-based methods to determine unit roots and cointegrating ranks.
Superposition of diffusions with linear generator and its multifractal limit process
In this paper a new multifractal stochastic process called Limit of the Integrated Superposition of Diffusion processes with Linear differencial Generator (LISDLG) is presented which realistically characterizes the network traffic multifractality. Several properties of the LISDLG model are presented including long range dependence, cumulants, logarithm of the characteristic function, dilative stability, spectrum and bispectrum. The model captures higher-order statistics by the cumulants. The relevance...
Superposition of Diffusions with Linear Generator and its Multifractal Limit Process
In this paper a new multifractal stochastic process called Limit of the Integrated Superposition of Diffusion processes with Linear differencial Generator (LISDLG) is presented which realistically characterizes the network traffic multifractality. Several properties of the LISDLG model are presented including long range dependence, cumulants, logarithm of the characteristic function, dilative stability, spectrum and bispectrum. The model captures higher-order statistics by the cumulants. The relevance...
Sur la loi des grands nombres pour les martingales vectorielles et l'estimateur des moindres carrés d'un modèle de régression
Sur l'estimateur des moindres carrés généralisé d'un modèle ARMAX. Application à l'identification des modèles ARMA