Главная

Anne Philippe

  1. Detection of non-constant long memory parameter.

    Пнд, 05/21/2012 - 15:01 — SomNambul
    Authors: Frédéric Lavancier, Anne Philippe, Donatas Surgailis, Remigijus Leipus
    Subjects: Statistics
    Abstract

    This article deals with detection of nonconstant long memory parameter in
    time series. The null hypothesis presumes stationary or nonstationary time
    series with constant long memory parameter, typically an I(d) series with
    d>-.5. The alternative corresponds to an increase in persistence and includes
    in particular an abrupt or gradual change from I(d_1) to I(d_2).

  2. Hierarchical Bayesian modelling of the electricity load.

    Чт, 09/22/2011 - 15:01 — SomNambul
    Authors: Anne Philippe, Tristan Launay, Sophie Lamarche
    Subjects: Applications
    Abstract

    In this paper, we study a non-linear model used to estimate and forecast the
    electricity load, that usually requires four or more years worth of data to
    avoid any overfitting phenomenon. We first propose a non-informative prior to
    be used when the number of observations is large enough. When the observations
    are too few, we propose a hierarchical prior to include information coming from
    another bigger, similar, sample. The posterior densities associated with these
    two priors are derived and a MCMC algorithm is provided in each case.

  3. Seasonal long memory; empirical process; limit theorem; mean integrated squared error.

    Пт, 12/24/2010 - 16:01 — SomNambul
    Authors: Anne Philippe, Mohamedou Ould Haye
    Subjects: Statistics
    Abstract

    Some convergence results on the kernel density estimator are proven for a
    class of linear processes with seasonal effects. In particular we extend the
    results of Ho and Hsing (1996a) and Mielniczuk (1997) to the stationary
    processes for which the singularities of the spectral density are not limited
    to the origin. We show that the convergence rates and the limit distribution
    may be different in this context.

  4. Basic properties of the Multivariate Fractional Brownian Motion.

    Ср, 07/07/2010 - 15:01 — SomNambul
    Authors: Frédéric Lavancier, Anne Philippe, Jean-François Coeurjolly, Pierre-Olivier Amblard
    Subjects: Probability
    Abstract

    This paper reviews and extends some recent results on the multivariate
    fractional Brownian motion (mfBm) and its increment process. A characterization
    of the mfBm through its covariance function is obtained. Similarly, the
    correlation and spectral analyses of the increments are investigated. On the
    other hand we show that (almost) all mfBm's may be reached as the limit of
    partial sums of (super)linear processes. Finally, an algorithm to perfectly
    simulate the mfBm is presented and illustrated by some simulations.

  5. On peeling procedure applied to a Poisson point process.

    Ср, 02/17/2010 - 16:01 — SomNambul
    Authors: Anne Philippe, Youri Davydov, Alexender Nagaev
    Subjects: Statistics
    Abstract

    In the focus of our attention is the asymptotic properties of the sequence of
    convex hulls which arise as a result of a peeling procedure applied to the
    convex hull generated by a Poisson point process. Processes of the considered
    type are tightly connected with empirical point processes and stable random
    vectors. Results are given about the limit shape of the convex hulls in the
    case of a discrete spectral measure. We give some numerical experiments to
    illustrate the peeling procedure for a more large class of Poisson point
    processes.

  6. A two-sample test for comparison of long memory parameters.

    Ср, 02/17/2010 - 16:01 — SomNambul
    Authors: Frédéric Lavancier, Anne Philippe, Donatas Surgailis
    Subjects: Statistics
    Abstract

    We construct a two-sample test for comparison of long memory parameters based
    on ratios of two rescaled variance (V/S) statistics studied in [Giraitis L.,
    Leipus, R., Philippe, A., 2006. A test for stationarity versus trends and unit
    roots for a wide class of dependent errors. Econometric Theory 21, 989--1029].
    The two samples have the same length and can be mutually independent or
    dependent. In the latter case, the test statistic is modified to make it
    asymptotically free of the long-run correlation coefficient between the
    samples.

  7. Some convergence results on quadratic forms for random fields and application to empirical covariances.

    Пт, 10/09/2009 - 18:27 — SomNambul
    Authors: Frédéric Lavancier, Anne Philippe
    Subjects: Statistics
    Abstract

    Limit theorems are proved for quadratic forms of Gaussian random fields in
    presence of long memory. We obtain a non central limit theorem under a minimal
    integrability condition, which allows isotropic and anisotropic models. We
    apply our limit theorems and those of Ginovian (99) to obtain the asymptotic
    behavior of the empirical covariances of Gaussian fields, which is a particular
    example of quadratic forms. We show that it is possible to obtain a Gaussian
    limit when the spectral density is not in $L^2$.

  8. Covariance function of vector self-similar process.

    Ср, 08/26/2009 - 14:59 — SomNambul
    Authors: Frédéric Lavancier, Anne Philippe, Donatas Surgailis
    Subjects: Probability
    Abstract

    The paper obtains the general form of the cross-covariance function of vector
    fractional Brownian motion with correlated components having different
    self-similarity indices.

Math-arch

RSS-материал