Estimation semi-paramétrique d'un modèle autorégressif stationnaire multiindice non nécessairement causal. (Semi-parametric estimation of a stationary, multi-indexed, non necessarily causal autoregressive process)
deconvolutionlinear fieldsmultidimensional latticenon-Gaussian systemsnoncausal systemsrobustnesssemiparametric estimationstationary autoregressive process
Density estimation (62G07) Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Seismology (including tsunami modeling), earthquakes (86A15) Identification in stochastic control theory (93E12)
The author considers a stationary autoregressive process whose index is defined on a multidimensional lattice. A procedure for estimation of the autoregressive coefficients is presented for the case when the autoregression is not necessarily causal and the noise process is not Gaussian. Asymptotic properties and robustness are discussed and an estimator of the order of such a process is presented.
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