Publications
We are made to exaggerate the
importance of what work we do; and yet how much is not done by
us!
Henry David Thoreau, Walden.
Accepted and published papers.
- Branching random walk with infinite progeny mean:
a tale of two tails, with Souvik Ray, Rajat
Subhra Hazra and Parthanil
Roy. Stochastic Processes and Their Applications, 2023, 160, 120-160.
DOI
- The tail process and tail measure of continuous time
regularly varying stochastic processes. Extremes, 2022, 25(1), 107-173. DOI
- Statistical inference for heavy tailed time
series with extremal independence, with Clemonell Bilayi-Biakana
and Rafal
Kulik. Extremes, 2020, 23(1), 1-33,
2020. DOI
- Modeling leverage and long memory in volatility in a pure jump process, with Mengchen Hsieh
and Clifford Hurvich.
High Frequency 2(3-4), 124-141, 2019. DOI
- The tail empirical process of regularly varying
functions of geometrically ergodic Markov chains,
with Rafal Kulik
and Olivier Wintenberger. Stochastic Processes and their Applications, 129(11), 4209-4238,
2019. DOI.
- An invariance principle for sums and record times of
regularly varying stationary sequences,
with Bojan Basrak and Hrvoje
Planinić. Probability Theory and Related fields,
172(3-4), 869-914, 2018. DOI.
- The tail process revisited, with Hrvoje
Planinić. Extremes, 21(4), 551-579,
2018. DOI
- The tail measure and spectral tail process of
regularly varying time series,
with Clément Dombry
and Enkelejd
Hashorva. Annals of Applied Probability, 28(6), 3884-3921,
2018. DOI
- Drifts in transaction-level asset price models,
with Wen Cao and Clifford
Hurvich. Journal of Time Series analysis, 38(5), 769-790,
2017. DOI
- Of ants and urns: estimation of the parameters of
a reinforced random walk and application to ants behavior, with Line Le
Goff. The International journal of Biostatistics, 13(1),
2017. DOI
- The diameter of a random elliptical cloud,
with Yann Demichel
and Ana Karina
Fermín. Electronic Journal of probability, 20(27),
1-32, 2015. DOI
- Heavy tailed time series with extremal
independence, with Rafal
Kulik. Extremes, 18(2), 273-299,
2015. DOI.
- Convergence to stable laws in the space D
with François
Roueff. Journal of Applied Probability, 52(1), 1-17,
2015. DOI.
- Limit Laws in Transaction-Level Asset Price Models
with Alexander
Aue, Lajos Horváth
and Clifford
Hurvich. Econometric Theory, 30(3), 536-579,
2014. DOI
- Estimating the scaling function of multifractal
measures and multifractal random walks using ratios, with Carin
Ludeña. Bernoulli, 20(1), 334-376,
2014. DOI
- Estimation of limiting conditional distributions for
the heavy tailed long memory stochastic volatility process
with Rafal
Kulik. Extremes, 16(2), 203-239,
2013. DOI
- Limit theorems for long memory stochastic volatility
models with infinite variance: Partial Sums and Sample Covariances
with Rafal
Kulik. Advances in Applied Probability, 44(4), 1113-1141,
2012. DOI
- Function-indexed empirical processes based on an
infinite source Poisson transmission stream,
with François Roueff
and Gennady
Samorodnitsky. Bernoulli, 18(3), 783-802,
2012. DOI
- Optimal rates of convergence in the
Weibull model based on kernel-type estimators,
with Cécile Mercadier.
Statistics and Probability letters, 82(3), 548-556,
2012. DOI
- Estimation of conditional law given an extreme
component, with Anne-Laure
Fougères. Extremes, 15(1), 1-34
2012. DOI
- Monotone spectral density
estimation, with Dragi Anevski. Annals of Statistics. 39(1), 418-438,
2011. DOI.
- The tail empirical process for long memory
stochastic volatility sequences,
with Rafal Kulik.
Stochastic Processes and their Applications. 121(1), 109-134,
2011. DOI.
- Best attainable rates of convergence for
the estimation of the memory parameter. In Paul Doukhan, Gabriel lang, Donatas Surgailis and
Gilles Teyssiere (Eds.)
Dependence in probability and statistics. Lecture Notes in Statistics 200, Springer,
2010. DOI
- On the properties of the periodogram of a
stationary long-memory process over different epochs with
applications , with Valderio Reisen, Eric
Moulines and Glaura Franco. Journal
of Time Series Analysis, 31(1), 20-36,
2010. DOI
- Limit conditional
distributions for bivariate vectors with polar representation,
with Anne-Laure
Fougères. Stochastic models. 26(1), 54-77,
2010. DOI
- Stochastic Volatility Models with Long
Memory, with Clifford Hurvich. In Torben Andersen, Richard
Davis, Jens-Peter Kreiss and Thomas Mikosch (Eds.) Handbook of financial times
series. Springer, 2009.
- Propagation of Memory Parameter from
Durations to Counts, with Rohit
Deo, Clifford M. Hurvich and Wang
Yi. Econometric Theory, 25(3), 764-792,
2009. DOI
- Estimation of bivariate excess probabilities for
elliptical models, with Belkacem
Abdous, Anne-Laure
Fougères and Kilani Ghoudi.
Bernoulli, 14(4), 1065-1088, 2008.
DOI
- On the existence of some ARCH($\infty$)
processes, with Randal Douc
and François Roueff.
Stochastic Processes and Their Applications, 118(5), 755-761,
2008. DOI
- Asymptotic properties for duration
driven long range dependent processes, with Mengchen Hsieh and
Clifford M. Hurvich. Journal of Econometrics,
141(2), 913-949, 2007. DOI
- Computable bounds for subgeometric
rates of convergence of Markov chains, with Randal Douc
and Eric Moulines. Bernoulli,
13(3), 831-848, 2007. DOI
Estimation of the Memory Parameter of
the Infinite Source Poisson Process, with Gilles Faÿ
and François
Roueff. Bernoulli, 13(2), 473-491,
2007. DOI
Long memory in nonlinear
processes, with Rohit Deo, Mengchen
Hsieh and Clifford Hurvich. In Patrice Bertail, Paul
Doukhan and Philippe Soulier (Eds.) Dependence in Probability and Statistics. Springer,
2006.
Subgeometric ergodicity of Markov
chains, with Randal Douc and Eric
Moulines. In Patrice Bertail, Paul Doukhan and Philippe Soulier (Eds.) Dependence
in Probability and Statistics. Springer, 2006.
Estimating long memory in stochastic
volatility, with Clifford Hurvich and Eric
Moulines. Econometrica, 73(4), 1283-1328,
2005. DOI
Estimation of long memory in the presence of a smooth
nonparametric trend, with
Clifford Hurvich and Gabriel
Lang. Journal of the American Statistical
Association, 100(471), 853-871, 2005.
Practical drift conditions for subgeometric rates
of convergence, with Randal Douc, Gersende
Fort and Eric
Moulines. Annals of Applied
Probability, 14(3), 1353-1377,
2004. DOI
Edgeworth expansions for infinite triangular arrays with applications to short and long memory
processes, with Gilles Faÿ and Eric
Moulines.
Statistics and Probability Letters, 66(3), 275-288,
2004. DOI
Estimation of the location and exponent
of the spectral singularity of a long memory process, with Javier
Hidalgo.
Journal of Time Series Analysis, 25(1), 55-82,
2004. DOI
Semiparametric estimation for fractional processes, with Eric
Moulines. In P. Doukhan, G. Oppenheim and M.S. Taqqu (Eds.). Long range
dependence: theory and applications. Birkhauser, 2003.
Testing for long memory in volatility, with
Clifford Hurvich. Econometric
Theory, 18(6), 1291-1308, 2002.
Central limit theorem for non linear functionals of the periodogram of a stationary non Gaussian
linear time series, with Gilles Faÿ and Eric
Moulines. Journal of Time Series Analysis, 23(5),
523-554, 2002.
The central limit theorem for associated sequences: a review,
with Sana Louhichi. Acta Mathematica
Hungarica, 97(1-2) 2002.
The FEXP estimator for potentially non-stationary linear time
series, with Clifford Hurvich and Eric
Moulines. Stochastic processes and their
applications, 97(2), 307-340, 2002.
Empirical processes techniques for the spectral estimation of fractional processes. In
H. Dehling, T. Mikosch and M. Sorensen (Eds.). Empirical processes techniques for dependent
data, Boston, 2002.
Adaptive estimation of the spectral density of a weakly or strongly
dependent Gaussian process.
Mathematical Methods of Statistics, 10(3), 331-354, 2001.
Adaptive estimation of the fractional
differencing coefficient, with Anatoli Iouditsky
and Eric Moulines. Bernoulli,
7(5), 699-731, 2001.
Moments bounds and a central limit theorem for functions of Gaussian
vectors. Statistics and Probability Letters,
54(2), 193-203,
2001. DOI
The periodogram of an i.i.d. sequence, with
Gilles Fay. Stochastic processes and
their applications, 92(2), 315-343, 2001.
Estimation adaptative de la densité spectrale d'un processus faiblement ou fortement
dépendant. Comptes Rendus de l'Académie des Sciences de
Paris, Série I, 330, 733-736, 2000.
Wavelet estimator of long-range dependent processes, with
Jean Marc Bardet, Gabriel Lang
and Eric Moulines. Statistical inference
for stochastic processes, 3(1-2), 85-99, 2000.
Convergence de mesures spectrales aléatoires et applications à des principes
d'invariance, with Gabriel
Lang. Statistical inference for stochastic processes,
3(1-2), 41-51, 2000.
Marcinkiewicz-Zygmund strong laws for infinite
variance time series, with Sana
Louhichi. Statistical inference for stochastic
processes, 3(1-2), 31-40, 2000.
Data driven order selection for long range dependent time series,
with Eric Moulines. Journal of Time Series
Analysis, 21(2), 193-218, 2000.
Log-periodogram regression of time series with long range dependence,
with Eric Moulines. Annals of
statistics, 27(4), 1415-1439,
1999. DOI
On the convergence of iterated random maps with applications to the MCEM
algorithm, with Gersende Fort and Eric
Moulines. In R. Payne (ed.) et al., Proceedings of the 13th symposium on
computational statistics. Physica-Verlag. 317-322 (1998).
Recent advances on the semi-parametric estimation of the long-range dependence coefficient,
with Jean Marc Bardet and Eric
Moulines. ESAIM Proceedings 5, 29-41, 1998.
Nonparametric estimation of the diffusion coefficient of a diffusion
process. Stochastic Analysis and Applications, 16(1), 185-200,
1998. DOI
Central and non central limit theorems for quadratic forms of a
strongly dependent Gaussian field, with Paul Doukhan
and Jose R. Leon.
REBRAPE, 10(2), 205-223, 1996.
Non parametric estimation of a strongly dependent stationary
Gaussian field. REBRAPE, 10(1), 69-86, 1996.
Déviation quadratique pour des estimateurs de la variance
d'une diffusion. Comptes Rendus de l'Académie des Sciences de
Paris, Série I 313(11), 783-786, 1991.