Youssef Esstafa (Le Mans University)
Title: Fast calibration of FARIMA models with dependent errors
Abstract:
In this work, we investigate the asymptotic properties of Le Cam’s one-step estimator for weak Fractionally AutoRegressive Integrated Moving-Average (FARIMA) models. For these models, noises are uncorrelated but neither necessarily independent nor martingale differences errors. We show under some regularity assumptions that the one-step estimator is strongly consistent and asymptotically normal with the same asymptotic variance as the least squares estimator. We show through simulations that the proposed estimator reduces computational time compared with the least squares estimator.
Speaker
After completing his PhD in mathematics (statistics) at the University of Bourgogne Franche-Comté (Besançon, France) in late 2019, Youssef Esstafa worked as a teacher-researcher at Ensai (Rennes, France) for one year before obtaining a position as an Associate Professor (MCF) in mathematics at Le Mans University.