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Estimation of the instantaneous volatility
International audience -
Fluctuations for the number of records on subtrees of the Continuum Random Tree
We study the asymptotic behavior af the number of cuts $X(T_n)$ needed to isolate the root in a rooted binary random tree $T_n$ with $n$ leaves. We focus on the case... -
A CLT for renewal processes with a finite set of interarrival distributions
International audience -
Spectral properties of chaotic processes
International audience -
Central limit theorem for stationary products of toral automorphisms
International audience -
Central Limit Theorem for the Multilevel Monte Carlo Euler Method and Applica...
This paper focuses on studying the multilevel Monte Carlo method recently introduced by Giles [8] and significantly more efficient than the classical Monte Carlo one.... -
Asymptotic results for bifurcating random coefficient autoregressive processes
The purpose of this paper is to study the asymptotic behavior of the weighted least square estimators of the unknown parameters of random coefficient bifurcating... -
Limit theorems for bifurcating integer-valued autoregressive processes
We study the asymptotic behavior of the weighted least squares estimators of the unknown parameters of bifurcating integer-valued autoregressive processes. Under... -
A sequential particle algorithm that keeps the particle system alive
A sequential particle algorithm proposed by Oudjane (2000) is studied here, which uses an adaptive random number of particles at each generation and guarantees that... -
Convergence of adaptive sampling schemes
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Brownian Confidence Bands on Monte Carlo Output
International audience -
Higher Order variance and Gauss Jacobi Quadrature
In this report, we study in a detailed way higher order variances and quadrature Gauss Jacobi. Recall that the variance of order j measures the concentration of a... -
Brownian motion and Harmonic functions on Sol(p,q)
The Lie group Sol(p,q) is the semidirect product induced by the action of the real numbers R on the plane R^2 which is given by (x,y) --> (exp{p z} x, exp{-q z} y),... -
Fractional multiplicative processes
International audience -
Poisson intensity parameter estimation for stationary Gibbs point processes o...
International audience -
High Frequency Asymptotics for Wavelet-Based Tests for Gaussianity and Isotro...
33 pages, 3 figures -
The cluster index of regularly varying sequences with applications to limit t...
We introduce the cluster index of a multivariate regularly varying stationary sequence and characterize the index in terms of the spectral tail process. This index... -
Importance Sampling and Statistical Romberg method
The efficiency of Monte Carlo simulations is significantly improved when implemented with variance reduction methods. Among these methods we focus on the popular...
