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

Faouzi Chaabane; Hamdi Fathallah

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

Faouzi Chaabane·Hamdi Fathallah

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Abstract

In 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.

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BibTeX RIS

Faouzi Chaabane, Hamdi Fathallah. 2006-06-20. Identification d'un processus autorégressif gaussien stable par la méthode de moyennisation logarithmique. https://arxiv.org/abs/math/0606200

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