Publications of Philippe Soulier

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.

Submitted papers.
- The tail empirical process of some long memory sequences, with Rafal Kulik.
- Estimation of conditional law given an extreme component, with Anne-Laure Fougères.
Accepted and published papers.
1. Monotone spectral density estimation, with Dragi Anevski. To appear in Annals of Statistics.
2. 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
3. Limit conditional distributions for bivariate vectors with polar representation, with Anne-Laure Fougères. Stochastic models. 26(1), 54-77, 2010. DOI
4. 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
5. Estimation of bivariate excess probabilities for elliptical models, with Belkacem Abdous, Anne-Laure Fougères and Kilani Ghoudi. Bernoulli, 14(4), 1065-1088, 2008. DOI
6. 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
7. 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
8. Computable bounds for subgeometric rates of convergence of Markov chains, with Randal Douc and Eric Moulines. Bernoulli, 13(3), 831-848, 2007. DOI
9. Estimation of the Memory Parameter of the Infinite Source Poisson Process, with Gilles Faÿ and François Roueff. Bernoulli, 13(2), 473-491, 2007. DOI
10. Estimating long memory in stochastic volatility, with Clifford Hurvich and Eric Moulines. Econometrica, 73(4), 1283-1328, 2005. DOI
11. 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.
12. 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
13. Edgeworth expansions for infinite triangular arrays with applications to short and long memory processes, with Gilles Fay and Eric Moulines. Statistics and Probability Letters, 66(3), 275-288, 2004. DOI
14. 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
15. Testing for long memory in volatility, with Clifford Hurvich. Econometric Theory, 18(6), 1291-1308, 2002.
16. Central limit theorem for non linear functionals of the periodogram of a stationary non Gaussian linear time series, with Gilles Fay and Eric Moulines. Journal of Time Series Analysis, 23(5), 523-554, 2002.
17. The central limit theorem for associated sequences: a review, with Sana Louhichi. Acta Mathematica Hungarica, 97(1-2) 2002.
18. 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.
19. Adaptive estimation of the spectral density of a weakly or strongly dependent Gaussian process. Mathematical Methods of Statistics, 10(3), 331-354, 2001.
20. Adaptive estimation of the fractional differencing coefficient, with Anatoli Iouditsky and Eric Moulines. Bernoulli, 7(5), 699-731, 2001.
21. Moments bounds and a central limit theorem for functions of Gaussian vectors. Statistics and Probability Letters, 54(2), 193-203, 2001. DOI
22. The periodogram of an i.i.d. sequence, with Gilles Fay. Stochastic processes and their applications, 92(2), 315-343, 2001.
23. 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.
24. 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.
25. Marcinkiewicz-Zygmund strong laws for infinite variance time series, with Sana Louhichi. Statistical inference for stochastic processes, 3(1-2), 31-40, 2000.
26. Data driven order selection for long range dependent time series, with Eric Moulines. Journal of Time Series Analysis, 21(2), 193-218, 2000.
27. Log-periodogram regression of time series with long range dependence, with Eric Moulines. Annals of statistics, 27(4), 1415-1439, 1999.
28. Nonparametric estimation of the diffusion coefficient of a diffusion process. Stochastic Analysis and Applications, 16(1), 185-200, 1998. DOI
29. 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.
30. Non parametric estimation of a strongly dependent stationary Gaussian field. REBRAPE, 10(1), 69-86, 1996.
Book contributions and proceedings
- Best attainable rates of convergence for the estimation of the memory parameter. In Paul Doukhan, Gabriel lang, Donatas Surgailis and Gilles Teyssiere (Eds.) Dependence, with application in statistics and econometrics. Springer, 2010
- 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.
- 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.
- 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.
- 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.
- 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.
Technical report
- Empirical spectral process. Application to the estimation of long memory, with Gabriel Lang, 2002.

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