Identification d'un processus autorégressif gaussien stable par la méthode de moyennisation logarithmique

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dc.creatorChaabane, Faouzi
dc.creatorFathallah, Hamdi
dc.date2006-06-08
dc.date2006-06-20
dc.date.accessioned2026-07-07T07:17:06Z
dc.date.available2026-07-07T07:17:06Z
dc.descriptionIn the present work, we consider a stable one-dimensional gaussian autoregressive model in continous time. Using the limit theorems with logarithmic averaging obtained for continous local martingales, we construct then an estimator of the noise covariance $σ^{2}$ and an estimator of $θ$ different of the one of the least squares estimator. By exploiting the weighting method we ameliorate the convergence rates of these new estimators.
dc.identifierhttps://arxiv.org/abs/math/0606200
dc.identifierhttp://arxiv.org/abs/math/0606200
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/113822
dc.subjectProbability
dc.titleIdentification d'un processus autorégressif gaussien stable par la méthode de moyennisation logarithmique
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