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Contributions to time series analysis: estimation, prediction and extremes
This habilitation manuscript presents my research work on statistics for weakly dependent processes. Asymptotical results for the Quasi Maximum Likelihood Estimator in... -
The Heckman-Opdam Markov processes
We introduce and study the natural counterpart of the Dunkl Markov processes in a negatively curved setting. We give a semimartingale decomposition of the radial part,... -
On the rate of convergence in non-central asymptotics of the Hermite variatio...
International audience -
Nonparametric estimation of the local Hurst function of multifractional Gauss...
International audience -
Deviation inequalities, moderate deviations principle and some limit theorems...
The explicit control of the convergence of properly normalized sums of random variables, as well as the study of moderate deviation principle associated with these... -
Central Limit Theorems for Stochastic Approximation with controlled Markov ch...
This paper provides a Central Limit Theorem (CLT) for a process $\{\theta_n, n\geq 0\}$ satisfying a stochastic approximation (SA) equation of the form $\theta_{n+1} =... -
Approximation at First and Second Order of m-order Integrals of the Fractiona...
Let X be the fractional Brownian motion of any Hurst index H in (0,1) (resp. a semimartingale) and set alpha=H (resp. alpha=1/2). If Y is a continuous process and if m... -
The quenched limiting distributions of a charged-polymer model
The limit distributions of the charged-polymer Hamiltonian of Kantor and Kardar [Bernoulli case] and Derrida, Griffiths and Higgs [Gaussian case] are considered. Two...
