Identification d'un processus autor\'{e}gressif gaussien stable par la m\'{e}thode de moyennisation logarithmique

arXivmath/0606200MaRDI QIDQ6477339FDOQ6477339

Authors: F. Chaabane, Hamdi Fathallah 

Publication date: 8 June 2006

Abstract: In the present work, we consider a stable one-dimensional gaussian autoregressive model in continous time. Using the limit theorems with logarithmic averaging obtained for continous local martingales, we construct then an estimator of the noise covariance $sigm{a}^2$ and an estimator of $heta$ different of the one of the least squares estimator. By exploiting the weighting method we ameliorate the convergence rates of these new estimators.

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