Sim, Tepmony; Douc, Randal; Roueff, François General-order observation-driven models: ergodicity and consistency of the maximum likelihood estimator. (English) Zbl 1472.62136 Electron. J. Stat. 15, No. 1, 3349-3393 (2021). MSC: 62M10 62M05 62F12 62F10 PDFBibTeX XMLCite \textit{T. Sim} et al., Electron. J. Stat. 15, No. 1, 3349--3393 (2021; Zbl 1472.62136) Full Text: DOI arXiv
Doukhan, Paul; Roueff, François; Rynkiewicz, Joseph Spectral estimation for non-linear long range dependent discrete time trawl processes. (English) Zbl 1451.62099 Electron. J. Stat. 14, No. 2, 3157-3191 (2020). Reviewer: Rózsa Horváth-Bokor (Budakalász) MSC: 62M10 62M15 62F12 60K35 PDFBibTeX XMLCite \textit{P. Doukhan} et al., Electron. J. Stat. 14, No. 2, 3157--3191 (2020; Zbl 1451.62099) Full Text: DOI arXiv Euclid
Douc, Randal; Olsson, Jimmy; Roueff, François Posterior consistency for partially observed Markov models. (English) Zbl 1471.60107 Stochastic Processes Appl. 130, No. 2, 733-759 (2020). MSC: 60J05 62F15 62M05 PDFBibTeX XMLCite \textit{R. Douc} et al., Stochastic Processes Appl. 130, No. 2, 733--759 (2020; Zbl 1471.60107) Full Text: DOI arXiv
Roueff, François; von Sachs, Rainer Time-frequency analysis of locally stationary Hawkes processes. (English) Zbl 1464.60048 Bernoulli 25, No. 2, 1355-1385 (2019). Reviewer: H. N. Nagaraja (Columbus) MSC: 60G55 62G05 62M15 PDFBibTeX XMLCite \textit{F. Roueff} and \textit{R. von Sachs}, Bernoulli 25, No. 2, 1355--1385 (2019; Zbl 1464.60048) Full Text: DOI arXiv Euclid
Ilhe, Paul; Moulines, Éric; Roueff, Francois; Souloumiac, Antoine Nonparametric estimation of Mark’s distribution of an exponential shot-noise process. (English) Zbl 1334.62050 Electron. J. Stat. 9, No. 2, 3120-3145 (2015). MSC: 62G07 45Q05 62M05 60G10 PDFBibTeX XMLCite \textit{P. Ilhe} et al., Electron. J. Stat. 9, No. 2, 3120--3145 (2015; Zbl 1334.62050) Full Text: DOI arXiv Euclid
Giraud, Christophe; Roueff, François; Sanchez-Perez, Andres Aggregation of predictors for nonstationary sub-linear processes and online adaptive forecasting of time varying autoregressive processes. (English) Zbl 1327.62478 Ann. Stat. 43, No. 6, 2412-2450 (2015). MSC: 62M20 62G99 62M10 68W27 PDFBibTeX XMLCite \textit{C. Giraud} et al., Ann. Stat. 43, No. 6, 2412--2450 (2015; Zbl 1327.62478) Full Text: DOI arXiv Euclid
Douc, Randal; Roueff, François; Sim, Tepmony Handy sufficient conditions for the convergence of the maximum likelihood estimator in observation-driven models. (English) Zbl 1323.62027 Lith. Math. J. 55, No. 3, 367-392 (2015). MSC: 62F12 60J05 PDFBibTeX XMLCite \textit{R. Douc} et al., Lith. Math. J. 55, No. 3, 367--392 (2015; Zbl 1323.62027) Full Text: DOI arXiv
Moulines, Eric; Priouret, Pierre; Roueff, François On recursive estimation for time varying autoregressive processes. (English) Zbl 1084.62089 Ann. Stat. 33, No. 6, 2610-2654 (2005). MSC: 62M10 62G08 62G20 PDFBibTeX XMLCite \textit{E. Moulines} et al., Ann. Stat. 33, No. 6, 2610--2654 (2005; Zbl 1084.62089) Full Text: DOI arXiv