Computational Statistics

Research Areas

• Statistical analysis of time series and signal processing: algorithms for identification, estimation and forecasting methods.
• Models with time-dependent coefficients, non-linear models (threshold models, ARCH models), intervention models.
• Development of an Expert System for Economic Forecasting: TSE (Time Series Expert).

Selected Publications

• Azrak, R., G. Mélard (2006). Asymptotic properties of quasi-maximum likelihood estimators for ARMA models with time-dependent coefficients", Statistical Inference for Stochastic Processes 9, 2006, No 3, 279-330.
• G. Mélard (2007). Méthodes de prévision à court terme, Coll. Statistique et Mathématiques appliquées, 2e édition (avec CD-ROM), Editions de l'Université de Bruxelles, Bruxelles et Editions Ellipses, Paris.
• G. Mélard (2014). On the accuracy of statistical procedures in Microsoft Excel 2010, Computational Statistics 29, 1095-1125.
• Klein, A., G. Mélard and T. Zahaf (1998). Computation of the exact information matrix of Gaussian dynamic regression time series models, Annals of Statistics, 26, 1636-1650.

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