Identification d'un processus autor\'egressif gaussien stable par la m\'ethode de moyennisation logarithmique
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 σ2 and an estimator of θ 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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