This article is devoted to study the problem of estimation in the periodic restricted exponential autoregressive EXPAR(1) models. The estimation procedure that is used is the least-square method. ...Simulation studies are carried out in order to check the asymptotic properties. An application to monthly flow data for the Fraser River in British Columbia is included.
Locally asymptotically most stringent test for testing the periodicity in the restricted exponential autoregressive model EXPAR(1) has been constructed by Merzougui et al. This test is generalized ...here to the restricted EXPAR of order p. On the other hand, we construct a semi-parametric optimal test of periodicity when the innovation density is unknown. The sufficient conditions of the Local Asymptotic Normality (LAN) property are adapted to the periodic model.
We present the MIGA experiment, an underground long baseline atom interferometer to study gravity at large scale. The hybrid atom-laser antenna will use several atom interferometers simultaneously ...interrogated by the resonant mode of an optical cavity. The instrument will be a demonstrator for gravitational wave detection in a frequency band (100 mHz-1 Hz) not explored by classical ground and space-based observatories, and interesting for potential astrophysical sources. In the initial instrument configuration, standard atom interferometry techniques will be adopted, which will bring to a peak strain sensitivity of Formula: see text at 2 Hz. This demonstrator will enable to study the techniques to push further the sensitivity for the future development of gravitational wave detectors based on large scale atom interferometers. The experiment will be realized at the underground facility of the Laboratoire Souterrain à Bas Bruit (LSBB) in Rustrel-France, an exceptional site located away from major anthropogenic disturbances and showing very low background noise. In the following, we present the measurement principle of an in-cavity atom interferometer, derive the method for Gravitational Wave signal extraction from the antenna and determine the expected strain sensitivity. We then detail the functioning of the different systems of the antenna and describe the properties of the installation site.
In this paper, we study the strong consistency and asymptotic normality properties of nonlinear least squares (NLS) estimator of the periodic
model. The general statistical literature on estimation ...of nonlinear models of Gallant and White is used. Simulation study and one real example are given to assess the performance of this NLS.
This paper is devoted to testing a classical periodic autoregressive against a periodic threshold autoregressive model with specified threshold. The local asymptotic normality property is shown via ...the adapted sufficient conditions due to Swensen (
1985
). Using this result we consider the case where the innovation density is specified, and we obtain a parametric local asymptotic "most stringent" test.
This article is devoted to study the problem of test of periodicity in the restricted exponential autoregressive (EXPAR) model. The local asymptotic normality property, of this model, is shown via ...the adapted sufficient conditions due to Swensen (
1985
). Using this result, in the case where the innovation density is specified, we obtain a parametric local asymptotic "most stringent" test.
This article deals with the study of some properties of a mixture periodically correlated autoregressive (MPAR
S
) time series model, which extends the mixture time invariant parameter autoregressive ...(MAR) model, that has recently received a considerable interest from many economic time series analysts, to mixture periodic parameter autoregressive model. The aim behind this extension is to make the model able to capture, in addition to all features captured by the classical MAR model, the periodicity feature exhibited by the autocovariance structure of many encountered financial and environmental time series with eventual multimodal distributions. Our main contribution here is obtaining of the second moment periodically stationary condition for a MPAR
S
(K; 2,..., 2) model, furthermore the closed-form of the second moment is obtained.
We are building a hybrid detector of new concept that couples laser and matter-wave interferometry to study sub Hertz variations of the strain tensor of space-time and gravitation. Using a set of ...atomic interferometers simultaneously manipulated by the resonant optical field of a 200 m cavity, the MIGA instrument will allow the monitoring of the evolution of the gravitational field at unprecedented sensitivity, which will be exploited both for geophysical studies and for Gravitational Waves (GWs) detection. This new infrastructure will be embedded into the LSBB underground laboratory, ideally located away from major anthropogenic disturbances and benefitting from very low background noise.
This article is concerned with the periodicity testing problem in Autoregressive Conditional Heteroskedastic (ARCH) process. Adaptive locally asymptotically optimal test is derived, when the ...innovation density is unspecified but symmetric satisfying only some general technical assumptions, for the null hypothesis of classical ARCH process against an alternative of periodically correlated ARCH dependence. The main technical tool is LeCam's (
1960
) Local Asymptotic Normality (LAN) property. The LAN property of the central sequence is shown via the adapted sufficient Swensen's conditions (
1985
). The performance of the established test is shown via simulation studies.
This article is devoted to the study of the periodicity testing problem in a self-exciting threshold autoregressive (SETAR) model. The local asymptotic normality (LAN) property is shown via the ...adapted sufficient conditions due to Swensen (
1985
). Moreover, the LAN of the central sequence is established. First, we consider the case where the innovation density is specified and we obtain a parametric local asymptotic test. Second, we construct an adaptive test in the case where this density is unspecified but symmetric. The performances of these established tests are shown via simulation studies.
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