Research area

mardi 9 mars 2010
par  Paul Doukhan

My work is centred on dependence of stochastic processes. The asymptotic properties of weak or strong dependence are central in my research work. I am very involved in the problem of modeling times series with specific properties.

- I introduced several nonlinear models exhibiting distributional long range dependence and the monograph [2] is a main reference for long range dependence.
- For the weakly dependent case, my monograph [1] is among the most cited reference for mixing and a recent work (see the monograph [5]) proposes a real alternative to mixing to measure weak dependence.

Limit theorems in probability associated to such conditions are also studied. Problems linked with non-parametric estimation are direct applications of those questions.

Applications to statistics, finance or stochastics algorithms were already worked out but a lot remains to complete the consequences of my theoretical work.