Markov chains. Zbl 1429.60002
Douc, Randal; Moulines, Eric; Priouret, Pierre; Soulier, Philippe |
|
2018
|
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe |
|
2004
|
Heavy tailed time series. Zbl 1457.62003
Kulik, Rafał; Soulier, Philippe |
|
2020
|
Broadband log-periodogram regression of time series with long-range dependence. Zbl 0962.62085
Moulines, Eric; Soulier, Philippe |
|
1999
|
Estimating long memory in volatility. Zbl 1151.91702
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2005
|
Wavelet estimator of long-range dependent processes. Zbl 1054.62579
Bardet, J. M.; Lang, G.; Moulines, E.; Soulier, P. |
|
2000
|
Heavy tailed time series with extremal independence. Zbl 1333.60102
Kulik, Rafał; Soulier, Philippe |
|
2015
|
The tail process revisited. Zbl 1417.60043
Planinić, Hrvoje; Soulier, Philippe |
|
2018
|
Computable convergence rates for sub-geometric ergodic Markov chains. Zbl 1131.60065
Douc, Randal; Moulines, Eric; Soulier, Philippe |
|
2007
|
Tail measure and spectral tail process of regularly varying time series. Zbl 1404.60074
Dombry, Clément; Hashorva, Enkelejd; Soulier, Philippe |
|
2018
|
The tail empirical process for long memory stochastic volatility sequences. Zbl 1253.60030
Kulik, Rafał; Soulier, Philippe |
|
2011
|
The FEXP estimator for potentially non-stationary linear time series. Zbl 1057.62074
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2002
|
An invariance principle for sums and record times of regularly varying stationary sequences. Zbl 1404.60043
Basrak, Bojan; Planinić, Hrvoje; Soulier, Philippe |
|
2018
|
Semiparametric spectral estimation for fractional processes. Zbl 1109.62353
Moulines, Eric; Soulier, Philippe |
|
2003
|
Estimation of the location and exponent of the spectral singularity of a long memory process. Zbl 1051.62075
Hidalgo, Javier; Soulier, Philippe |
|
2004
|
Dependence in probability and statistics. Zbl 1092.60002
|
|
2006
|
Estimation of bivariate excess probabilities for elliptical models. Zbl 1155.62042
Abdous, Belkacem; Fougères, Anne-Laure; Ghoudi, Kilani; Soulier, Philippe |
|
2008
|
On the existence of some ARCH\((\infty)\)processes. Zbl 1136.60327
Douc, Randal; Roueff, François; Soulier, Philippe |
|
2008
|
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains. Zbl 1448.60114
Kulik, Rafał; Soulier, Philippe; Wintenberger, Olivier |
|
2019
|
The periodogram of an i.i.d. sequence. Zbl 1046.62097
Fay, Gilles; Soulier, Philippe |
|
2001
|
Limit conditional distributions for bivariate vectors with polar representation. Zbl 1195.60025
Fougères, Anne-Laure; Soulier, Philippe |
|
2010
|
Monotone spectral density estimation. Zbl 1209.62206
Anevski, Dragi; Soulier, Philippe |
|
2011
|
Moment bounds and central limit theorem for functions of Gaussian vectors. Zbl 0993.60019
Soulier, Philippe |
|
2001
|
Nonparametric estimation of the diffusion coefficient of a diffusion process. Zbl 0894.62093
Soulier, Philippe |
|
1998
|
Estimation of the memory parameter of the infinite-source Poisson process. Zbl 1127.62070
Faÿ, Gilles; Roueff, François; Soulier, Philippe |
|
2007
|
Conditions for the propagation of memory parameter from durations to counts and realized volatility. Zbl 1253.62077
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi |
|
2009
|
Estimation of long memory in the presence of a smooth nonparametric trend. Zbl 1117.62359
Hurvich, Clifford; Lang, Gabriel; Soulier, Philippe |
|
2005
|
Estimation of conditional laws given an extreme component. Zbl 1329.62164
Fougères, Anne-Laure; Soulier, Philippe |
|
2012
|
Data driven order selection for projection estimator of the spectral density of time series with long range dependence. Zbl 0958.62091
Moulines, Eric; Soulier, Philippe |
|
2000
|
Long memory in nonlinear processes. Zbl 1187.62141
Deo, Rohit; Hsieh, Mengchen; Hurvich, Clifford M.; Soulier, Philippe |
|
2006
|
Adaptive estimation of the fractional differencing coefficient. Zbl 1006.62082
Iouditsky, Anatoli; Moulines, Eric; Soulier, Philippe |
|
2001
|
The tail process and tail measure of continuous time regularly varying stochastic processes. Zbl 1500.60028
Soulier, Philippe |
|
2022
|
Central and non central limit theorems for quadratic forms of a strongly dependent Gaussian field. Zbl 0881.60023
Doukhan, Paul; León, Jose R.; Soulier, Philippe |
|
1996
|
Marcinkiewicz-Zygmund strong laws for infinite variance time series. Zbl 1054.60037
Louhichi, Sana; Soulier, Philippe |
|
2000
|
Testing for long memory in volatility. Zbl 1033.62102
Hurvich, Clifford M.; Soulier, Philippe |
|
2002
|
Nonlinear functionals of the periodogram. Zbl 1063.62015
Fay, Gilles; Moulines, Eric; Soulier, Philippe |
|
2002
|
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process. Zbl 1273.60028
Kulik, Rafał; Soulier, Philippe |
|
2013
|
Convergence of random spectral measures and applications to invariance principles.
(Convergence de mesures spectrales aléatoires et applications à des principes d’invariance.) Zbl 0978.60023
Lang, Gabriel; Soulier, Philippe |
|
2000
|
Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes. Zbl 1102.62093
Faÿ, Gilles; Moulines, Eric; Soulier, Philippe |
|
2004
|
Stochastic volatility models with long memory. Zbl 1178.91225
Hurvich, Clifford M.; Soulier, Philippe |
|
2009
|
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances. Zbl 1275.62072
Kulik, Rafał; Soulier, Philippe |
|
2012
|
Estimating the scaling function of multifractal measures and multifractal random walks using ratios. Zbl 1398.60059
Ludeña, Carenne; Soulier, Philippe |
|
2014
|
On the properties of the periodogram of a stationary long-memory process over different epochs with applications. Zbl 1224.62078
Reisen, Valdério A.; Moulines, Eric; Soulier, Philippe; Franco, Glaura C. |
|
2010
|
Asymptotics for duration-driven long range dependent processes. Zbl 1418.62332
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe |
|
2007
|
The central limit theorem for stationary associated sequences. Zbl 1017.60020
Louhichi, S.; Soulier, Ph. |
|
2002
|
Drift in transaction-level asset price models. Zbl 1378.62125
Cao, Wen; Hurvich, Clifford; Soulier, Philippe |
|
2017
|
Statistical inference for heavy tailed series with extremal independence. Zbl 1498.62165
Bilayi-Biakana, Clemonell; Kulik, Rafał; Soulier, Philippe |
|
2020
|
Limit laws in transaction-level asset price models. Zbl 1296.91119
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford; Soulier, Philippe |
|
2014
|
Function-indexed empirical processes based on an infinite source Poisson transmission stream. Zbl 1259.60036
Roueff, François; Samorodnitsky, Gennady; Soulier, Philippe |
|
2012
|
Convergence to stable laws in the space \(\mathcal D\). Zbl 1326.60039
Roueff, François; Soulier, Philippe |
|
2015
|
The diameter of an elliptical cloud. Zbl 1327.60036
Demichel, Yann; Fermin, Ana-Karina; Soulier, Philippe |
|
2015
|
Subgeometric ergodicity of Markov chains. Zbl 1106.60058
Douc, Randal; Moulines, Eric; Soulier, Philippe |
|
2006
|
Corrigendum to “Estimating long memory in volatility” [Econometrica 73, No. 4, 1283–1328 (2005)]. Zbl 1152.91712
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2008
|
Adaptive estimation of the spectral density of a weakly or strongly dependent Gaussian process. Zbl 1005.62079
Soulier, Ph. |
|
2001
|
Non parametric estimation of a strongly dependent stationary Gaussian field. Zbl 0864.62062
Soulier, Philippe |
|
1996
|
Déviation quadratique pour des estimateurs de la variance d’une diffusion. (Quadratic deviation of estimators of the diffusion coefficient of a diffusion process). Zbl 0735.62083
Soulier, Philippe |
|
1991
|
The tail process and tail measure of continuous time regularly varying stochastic processes. Zbl 1500.60028
Soulier, Philippe |
|
2022
|
Heavy tailed time series. Zbl 1457.62003
Kulik, Rafał; Soulier, Philippe |
|
2020
|
Statistical inference for heavy tailed series with extremal independence. Zbl 1498.62165
Bilayi-Biakana, Clemonell; Kulik, Rafał; Soulier, Philippe |
|
2020
|
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains. Zbl 1448.60114
Kulik, Rafał; Soulier, Philippe; Wintenberger, Olivier |
|
2019
|
Markov chains. Zbl 1429.60002
Douc, Randal; Moulines, Eric; Priouret, Pierre; Soulier, Philippe |
|
2018
|
The tail process revisited. Zbl 1417.60043
Planinić, Hrvoje; Soulier, Philippe |
|
2018
|
Tail measure and spectral tail process of regularly varying time series. Zbl 1404.60074
Dombry, Clément; Hashorva, Enkelejd; Soulier, Philippe |
|
2018
|
An invariance principle for sums and record times of regularly varying stationary sequences. Zbl 1404.60043
Basrak, Bojan; Planinić, Hrvoje; Soulier, Philippe |
|
2018
|
Drift in transaction-level asset price models. Zbl 1378.62125
Cao, Wen; Hurvich, Clifford; Soulier, Philippe |
|
2017
|
Heavy tailed time series with extremal independence. Zbl 1333.60102
Kulik, Rafał; Soulier, Philippe |
|
2015
|
Convergence to stable laws in the space \(\mathcal D\). Zbl 1326.60039
Roueff, François; Soulier, Philippe |
|
2015
|
The diameter of an elliptical cloud. Zbl 1327.60036
Demichel, Yann; Fermin, Ana-Karina; Soulier, Philippe |
|
2015
|
Estimating the scaling function of multifractal measures and multifractal random walks using ratios. Zbl 1398.60059
Ludeña, Carenne; Soulier, Philippe |
|
2014
|
Limit laws in transaction-level asset price models. Zbl 1296.91119
Aue, Alexander; Horváth, Lajos; Hurvich, Clifford; Soulier, Philippe |
|
2014
|
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process. Zbl 1273.60028
Kulik, Rafał; Soulier, Philippe |
|
2013
|
Estimation of conditional laws given an extreme component. Zbl 1329.62164
Fougères, Anne-Laure; Soulier, Philippe |
|
2012
|
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances. Zbl 1275.62072
Kulik, Rafał; Soulier, Philippe |
|
2012
|
Function-indexed empirical processes based on an infinite source Poisson transmission stream. Zbl 1259.60036
Roueff, François; Samorodnitsky, Gennady; Soulier, Philippe |
|
2012
|
The tail empirical process for long memory stochastic volatility sequences. Zbl 1253.60030
Kulik, Rafał; Soulier, Philippe |
|
2011
|
Monotone spectral density estimation. Zbl 1209.62206
Anevski, Dragi; Soulier, Philippe |
|
2011
|
Limit conditional distributions for bivariate vectors with polar representation. Zbl 1195.60025
Fougères, Anne-Laure; Soulier, Philippe |
|
2010
|
On the properties of the periodogram of a stationary long-memory process over different epochs with applications. Zbl 1224.62078
Reisen, Valdério A.; Moulines, Eric; Soulier, Philippe; Franco, Glaura C. |
|
2010
|
Conditions for the propagation of memory parameter from durations to counts and realized volatility. Zbl 1253.62077
Deo, Rohit; Hurvich, Clifford M.; Soulier, Philippe; Wang, Yi |
|
2009
|
Stochastic volatility models with long memory. Zbl 1178.91225
Hurvich, Clifford M.; Soulier, Philippe |
|
2009
|
Estimation of bivariate excess probabilities for elliptical models. Zbl 1155.62042
Abdous, Belkacem; Fougères, Anne-Laure; Ghoudi, Kilani; Soulier, Philippe |
|
2008
|
On the existence of some ARCH\((\infty)\)processes. Zbl 1136.60327
Douc, Randal; Roueff, François; Soulier, Philippe |
|
2008
|
Corrigendum to “Estimating long memory in volatility” [Econometrica 73, No. 4, 1283–1328 (2005)]. Zbl 1152.91712
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2008
|
Computable convergence rates for sub-geometric ergodic Markov chains. Zbl 1131.60065
Douc, Randal; Moulines, Eric; Soulier, Philippe |
|
2007
|
Estimation of the memory parameter of the infinite-source Poisson process. Zbl 1127.62070
Faÿ, Gilles; Roueff, François; Soulier, Philippe |
|
2007
|
Asymptotics for duration-driven long range dependent processes. Zbl 1418.62332
Hsieh, Meng-Chen; Hurvich, Clifford M.; Soulier, Philippe |
|
2007
|
Dependence in probability and statistics. Zbl 1092.60002
|
|
2006
|
Long memory in nonlinear processes. Zbl 1187.62141
Deo, Rohit; Hsieh, Mengchen; Hurvich, Clifford M.; Soulier, Philippe |
|
2006
|
Subgeometric ergodicity of Markov chains. Zbl 1106.60058
Douc, Randal; Moulines, Eric; Soulier, Philippe |
|
2006
|
Estimating long memory in volatility. Zbl 1151.91702
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2005
|
Estimation of long memory in the presence of a smooth nonparametric trend. Zbl 1117.62359
Hurvich, Clifford; Lang, Gabriel; Soulier, Philippe |
|
2005
|
Practical drift conditions for subgeometric rates of convergence. Zbl 1082.60062
Douc, Randal; Fort, Gersende; Moulines, Eric; Soulier, Philippe |
|
2004
|
Estimation of the location and exponent of the spectral singularity of a long memory process. Zbl 1051.62075
Hidalgo, Javier; Soulier, Philippe |
|
2004
|
Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes. Zbl 1102.62093
Faÿ, Gilles; Moulines, Eric; Soulier, Philippe |
|
2004
|
Semiparametric spectral estimation for fractional processes. Zbl 1109.62353
Moulines, Eric; Soulier, Philippe |
|
2003
|
The FEXP estimator for potentially non-stationary linear time series. Zbl 1057.62074
Hurvich, Clifford M.; Moulines, Eric; Soulier, Philippe |
|
2002
|
Testing for long memory in volatility. Zbl 1033.62102
Hurvich, Clifford M.; Soulier, Philippe |
|
2002
|
Nonlinear functionals of the periodogram. Zbl 1063.62015
Fay, Gilles; Moulines, Eric; Soulier, Philippe |
|
2002
|
The central limit theorem for stationary associated sequences. Zbl 1017.60020
Louhichi, S.; Soulier, Ph. |
|
2002
|
The periodogram of an i.i.d. sequence. Zbl 1046.62097
Fay, Gilles; Soulier, Philippe |
|
2001
|
Moment bounds and central limit theorem for functions of Gaussian vectors. Zbl 0993.60019
Soulier, Philippe |
|
2001
|
Adaptive estimation of the fractional differencing coefficient. Zbl 1006.62082
Iouditsky, Anatoli; Moulines, Eric; Soulier, Philippe |
|
2001
|
Adaptive estimation of the spectral density of a weakly or strongly dependent Gaussian process. Zbl 1005.62079
Soulier, Ph. |
|
2001
|
Wavelet estimator of long-range dependent processes. Zbl 1054.62579
Bardet, J. M.; Lang, G.; Moulines, E.; Soulier, P. |
|
2000
|
Data driven order selection for projection estimator of the spectral density of time series with long range dependence. Zbl 0958.62091
Moulines, Eric; Soulier, Philippe |
|
2000
|
Marcinkiewicz-Zygmund strong laws for infinite variance time series. Zbl 1054.60037
Louhichi, Sana; Soulier, Philippe |
|
2000
|
Convergence of random spectral measures and applications to invariance principles.
(Convergence de mesures spectrales aléatoires et applications à des principes d’invariance.) Zbl 0978.60023
Lang, Gabriel; Soulier, Philippe |
|
2000
|
Broadband log-periodogram regression of time series with long-range dependence. Zbl 0962.62085
Moulines, Eric; Soulier, Philippe |
|
1999
|
Nonparametric estimation of the diffusion coefficient of a diffusion process. Zbl 0894.62093
Soulier, Philippe |
|
1998
|
Central and non central limit theorems for quadratic forms of a strongly dependent Gaussian field. Zbl 0881.60023
Doukhan, Paul; León, Jose R.; Soulier, Philippe |
|
1996
|
Non parametric estimation of a strongly dependent stationary Gaussian field. Zbl 0864.62062
Soulier, Philippe |
|
1996
|
Déviation quadratique pour des estimateurs de la variance d’une diffusion. (Quadratic deviation of estimators of the diffusion coefficient of a diffusion process). Zbl 0735.62083
Soulier, Philippe |
|
1991
|