-
Estimating the survival functions in a censored semi-competing risks model
International audience -
Contribution à la statistique des processus : modélisation et applications
Nous présentons d'abord les problématiques liées à l'utilisation des processus pour la modélisation des modèles d'histoire de vie et de survie, écriture de... -
Yield to maturity modelling and a Monte Carlo Technique for pricing Derivativ...
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of... -
Weak type inequalities for conditionally symmetric martingales
International audience -
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... -
Yule process sample path asymptotics
This research report presents two results on sample paths for the Yule process: one fluid limit theorem and one sample path large deviation result. The main interest... -
Rosenthal-type inequalities for the maximum of partial sums of stationary pro...
Accepted for publication in Annals of Probability. Published on line. 37 pages -
Identification d'un processus autorégressif gaussien stable par la méthode de...
In the present work, we consider a stable one-dimensional gaussian autoregressive model in continous time. Using the limit theorems with logarithmic averaging obtained... -
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... -
Les origines du modèle de marche au hasard en finance
Ce texte constitue le chapitre 2 de l'ouvrage Le modèle de marche au hasard en finance, de Christian Walter, à paraître chez Economica, collection " Audit, assurance, actuariat... -
Empirical Bernstein Inequality for Martingales : Application to Online Learning
In this article we present a new empirical Bernstein inequality for bounded martingale difference sequences. This inequality refines the one by Freedman [1975] and is... -
Weighted moments for the limit of a normalized supercritical Galton- Watson p...
International audience -
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... -
Estimation récursive pour les modèles semi-paramétriques
In this thesis, we focus on the semi-parametric regression model y = f( \theta'x; \epsilon), where x \in R^p et y\in R. Our objective is to study problems of... -
A combinatorial approach to a model of constrained random walkers
In [1], the authors consider a random walk $(Z_{n,1},\ldots,Z_{n,K+1})\in \mathbb{Z}^{K+1}$ with the constraint that each coordinate of the walk is at distance one... -
Martingale defocusing and transience of a self-interacting random walk
Suppose that $(X,Y,Z)$ is a random walk in $\Z^3$ that moves in the following way: on the first visit to a vertex only $Z$ changes by $\pm 1$ equally likely, while on...
