Philippe Soulier

List of research outcomes

This list is not complete and representing at the moment only items from zbMATH Open and arXiv. We are working on additional sources - please check back here soon!

Publication	Date of Publication	Type
Parameter estimation of a two-colored urn model class The International Journal of Biostatistics	2024-11-12	Paper
Branching random walk with infinite progeny mean: a tale of two tails Stochastic Processes and their Applications	2023-05-17	Paper
The tail process and tail measure of continuous time regularly varying stochastic processes Extremes	2022-04-04	Paper
Heavy tailed time series Springer Series in Operations Research and Financial Engineering	2020-05-18	Paper
Statistical inference for heavy tailed series with extremal independence Extremes	2020-02-28	Paper
The tail empirical process of regularly varying functions of geometrically ergodic Markov chains Stochastic Processes and their Applications	2019-11-27	Paper
The tail process revisited Extremes	2018-12-20	Paper
Tail measure and spectral tail process of regularly varying time series The Annals of Applied Probability	2018-12-17	Paper
Tail measure and spectral tail process of regularly varying time series The Annals of Applied Probability	2018-12-17	Paper
An invariance principle for sums and record times of regularly varying stationary sequences Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete	2018-11-21	Paper
Markov Chains Springer Series in Operations Research and Financial Engineering	2018-08-28	Paper
Drift in transaction-level asset price models Journal of Time Series Analysis	2017-09-18	Paper
Asymptotics for duration-driven long range dependent processes Journal of Econometrics	2016-05-27	Paper
Estimation of conditional laws given an extreme component Extremes	2016-01-22	Paper
The diameter of an elliptical cloud Electronic Journal of Probability	2015-08-07	Paper
Heavy tailed time series with extremal independence Extremes	2015-07-07	Paper
Convergence to stable laws in the space D Journal of Applied Probability	2015-05-29	Paper
Convergence to stable laws in the space D Journal of Applied Probability	2015-05-29	Paper
Limit laws in transaction-level asset price models Econometric Theory	2014-09-25	Paper
Estimating the scaling function of multifractal measures and multifractal random walks using ratios Bernoulli	2014-04-10	Paper
Estimating the scaling function of multifractal measures and multifractal random walks using ratios Bernoulli	2014-04-10	Paper
Estimation of limiting conditional distributions for the heavy tailed long memory stochastic volatility process Extremes	2013-06-25	Paper
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances Advances in Applied Probability	2013-02-28	Paper
Limit theorems for long-memory stochastic volatility models with infinite variance: partial sums and sample covariances Advances in Applied Probability	2013-02-28	Paper
Function-indexed empirical processes based on an infinite source Poisson transmission stream Bernoulli	2012-08-09	Paper
Function-indexed empirical processes based on an infinite source Poisson transmission stream Bernoulli	2012-08-09	Paper
Optimal rates of convergence in the Weibull model based on kernel-type estimators Statistics & Probability Letters	2012-05-18	Paper
Monotone spectral density estimation The Annals of Statistics	2011-04-05	Paper
On the properties of the periodogram of a stationary long-memory process over different epochs with applications Journal of Time Series Analysis	2011-02-22	Paper
The tail empirical process for long memory stochastic volatility sequences Stochastic Processes and their Applications	2011-01-14	Paper
Limit conditional distributions for bivariate vectors with polar representation Stochastic Models	2010-05-21	Paper
Stochastic Volatility Models with Long Memory Handbook of Financial Time Series	2009-11-27	Paper
CONDITIONS FOR THE PROPAGATION OF MEMORY PARAMETER FROM DURATIONS TO COUNTS AND REALIZED VOLATILITY Econometric Theory	2009-09-30	Paper
Estimation of bivariate excess probabilities for elliptical models Bernoulli	2009-03-02	Paper
Corrigendum to "Estimating Long Memory in Volatility" Econometrica	2008-06-13	Paper
On the existence of some ARCH\((\infty)\)processes Stochastic Processes and their Applications	2008-04-28	Paper
Computable convergence rates for sub-geometric ergodic Markov chains Bernoulli	2008-02-06	Paper
Computable convergence rates for sub-geometric ergodic Markov chains Bernoulli	2008-02-06	Paper
Estimation of the memory parameter of the infinite-source Poisson process Bernoulli	2008-01-09	Paper
Log-average periodogram estimator of the memory parameter	2007-12-05	Paper
Estimation of Long Memory in the Presence of a Smooth Nonparametric Trend Journal of the American Statistical Association	2007-08-20	Paper
Long Memory in Nonlinear Processes Lecture Notes in Statistics	2007-01-09	Paper
Subgeometric ergodicity of Markov chains Lecture Notes in Statistics	2007-01-09	Paper
Estimating Long Memory in Volatility Econometrica	2006-10-24	Paper
Nonlinear functionals of the periodogram Journal of Time Series Analysis	2005-05-20	Paper
The FEXP estimator for potentially non-stationary linear time series. Stochastic Processes and their Applications	2005-02-25	Paper
Estimation of the location and exponent of the spectral singularity of a long memory process Journal of Time Series Analysis	2004-11-24	Paper
The periodogram of an i.i.d. sequence. Stochastic Processes and their Applications	2004-09-22	Paper
Practical drift conditions for subgeometric rates of convergence. The Annals of Applied Probability	2004-09-15	Paper
Edgeworth expansions for linear statistics of possibly long-range-dependent linear processes. Statistics & Probability Letters	2004-03-14	Paper
The central limit theorem for stationary associated sequences Acta Mathematica Hungarica	2003-08-06	Paper
scientific article; zbMATH DE number 1944314 (Why is no real title available?)	2003-07-01	Paper
scientific article; zbMATH DE number 1944036 (Why is no real title available?)	2003-07-01	Paper
TESTING FOR LONG MEMORY IN VOLATILITY Econometric Theory	2003-05-18	Paper
Adaptive estimation of the fractional differencing coefficient Bernoulli	2003-03-10	Paper
Adaptive estimation of the spectral density of a weakly or strongly dependent Gaussian process Mathematical Methods of Statistics	2003-02-10	Paper
Moment bounds and central limit theorem for functions of Gaussian vectors Statistics & Probability Letters	2002-09-15	Paper
Convergence of random spectral measures and applications to invariance principles. Statistical Inference for Stochastic Processes	2002-01-24	Paper
Estimation adaptative de la densité spectrale d'un processus gaussien faiblement ou fortement dépendant Comptes Rendus de l'Académie des Sciences - Series I - Mathematics	2001-10-04	Paper
Broadband log-periodogram regression of time series with long-range dependence The Annals of Statistics	2001-06-19	Paper
scientific article; zbMATH DE number 1489832 (Why is no real title available?)	2001-03-19	Paper
Data driven order selection for projection estimator of the spectral density of time series with long range dependence Journal of Time Series Analysis	2001-03-01	Paper
Wavelet estimator of long-range dependent processes. Statistical Inference for Stochastic Processes	2000-01-01	Paper
Marcinkiewicz-Zygmund strong laws for infinite variance time series. Statistical Inference for Stochastic Processes	2000-01-01	Paper
Recent advances on the semi-parametric estimation of the long-range dependence coefficient ESAIM: Proceedings	1999-01-27	Paper
Non parametric estimation of the diffusion coefficient of a diffusion process Stochastic Analysis and Applications	1998-09-10	Paper
scientific article; zbMATH DE number 1053613 (Why is no real title available?)	1998-02-10	Paper
scientific article; zbMATH DE number 962365 (Why is no real title available?)	1997-06-26	Paper
scientific article; zbMATH DE number 27683 (Why is no real title available?)	1992-06-27	Paper

Research outcomes over time

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