Random coefficients bifurcating autoregressive ...
Type de document :
Compte-rendu et recension critique d'ouvrage
DOI :
Titre :
Random coefficients bifurcating autoregressive processes
Auteur(s) :
de Saporta, Benoîte [Auteur]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques et de Modélisation de Montpellier [I3M]
Gégout-Petit, Anne [Auteur]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut Élie Cartan de Lorraine [IECL]
Marsalle, Laurence [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut de Mathématiques et de Modélisation de Montpellier [I3M]
Gégout-Petit, Anne [Auteur]
Institut de Mathématiques de Bordeaux [IMB]
Quality control and dynamic reliability [CQFD]
Institut Élie Cartan de Lorraine [IECL]
Marsalle, Laurence [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Titre de la revue :
ESAIM: Probability and Statistics
Pagination :
365-399
Éditeur :
EDP Sciences
Date de publication :
2014
ISSN :
1292-8100
Discipline(s) HAL :
Mathématiques [math]/Probabilités [math.PR]
Statistiques [stat]/Théorie [stat.TH]
Statistiques [stat]/Théorie [stat.TH]
Résumé en anglais : [en]
This paper presents a new model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly missing observations. We propose ...
Lire la suite >This paper presents a new model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly missing observations. We propose least-squares estimators for the various parameters of the model and prove their consistency, with a convergence rate, and asymptotic normality. We use both the bifurcating Markov chain and martingale approaches and derive new important general results in both these frameworks.Lire moins >
Lire la suite >This paper presents a new model of asymmetric bifurcating autoregressive process with random coefficients. We couple this model with a Galton Watson tree to take into account possibly missing observations. We propose least-squares estimators for the various parameters of the model and prove their consistency, with a convergence rate, and asymptotic normality. We use both the bifurcating Markov chain and martingale approaches and derive new important general results in both these frameworks.Lire moins >
Langue :
Anglais
Vulgarisation :
Non
Collections :
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