Statistiques de diffusions et temps local
Stochastic algorithm for Bayesian mixture effect template estimation
The estimation of probabilistic deformable template models in computer vision or of probabilistic atlases in Computational Anatomy are core issues in both fields. A first coherent statistical framework where the geometrical variability is modelled as a hidden random variable has been given by [S. Allassonnière et al., J. Roy. Stat. Soc.69 (2007) 3–29]. They introduce a Bayesian approach and mixture of them to estimate deformable template models. A consistent stochastic algorithm has been introduced...
Stochastic multivariable self-tuning tracker for non-gaussian systems
This paper considers the properties of a minimum variance self-tuning tracker for MIMO systems described by ARMAX models. It is assumed that the stochastic noise has a non-Gaussian distribution. Such an assumption introduces into a recursive algorithm a nonlinear transformation of the prediction error. The system under consideration is minimum phase with different dimensions for input and output vectors. In the paper the concept of Kronecker's product is used, which allows us to represent unknown...
Study of a least-squares-based algorithm for autoregressive signals subject to white noise.
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 certains problèmes d'estimation et de test concernant la moyenne d'un processus gaussien
Sur la détection d'un signal dans un bruit de Cauchy
Sur la loi des grands nombres pour les martingales vectorielles et l'estimateur des moindres carrés d'un modèle de régression
Sur le filtre de Kalman-Bucy en temps continu
Sur le processus de vraisemblance partielle
Sur l'estimateur des moindres carrés généralisé d'un modèle ARMAX. Application à l'identification des modèles ARMA
Systematic estimation and prediction for processes with bounded sum
Tables for processes with exponential white noise
Techniques de contrôle de prévision à court terme
Tendency Towards Normality of Linear Combinations of Random Variables.
Test de hipótesis para contrastar modelos MARMA de series temporales.
El propósito de este artículo es revisar, relacionar e interpretar tests de hipótesis, tipo score, para contrastar la especificación de modelos de series temporales múltiples, así como obtener unos resultados sobre los estadísticos asociados, lo más simples posibles, a fin de utilizarlos en la etapa de identificación de los modelos.
Test for submodel in Gibbs-Markov binary random sequence