THÈSE Estimation, validation et identification des modèles ARMA ...
THÈSE Estimation, validation et identification des modèles ARMA ...
THÈSE Estimation, validation et identification des modèles ARMA ...
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Liste <strong>des</strong> tableaux<br />
2.1 Empirical size of standard and modified tests : relative frequencies (in %) of<br />
rejection of H0 : b1(2,2) = 0. The number of replications is N = 1000. . . . 67<br />
2.2 Empirical power of standard and modified tests : relative frequencies (in %) of<br />
rejection of H0 : b1(2,2) = 0. The number of replications is N = 1000. . . . 68<br />
4.1 Empirical size (in %) of the standard and modified versions of the LB<br />
test in the case of the strong V<strong>ARMA</strong>(1,1) model (4.13)-(4.14), with θ0 =<br />
(0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135<br />
4.2 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the strong V<strong>ARMA</strong>(1,1) model (4.13)-(4.14), with θ0 = (0,0,0). 135<br />
4.3 Empirical size (in %) of the standard and modified versions of the LB<br />
test in the case of the weak V<strong>ARMA</strong>(1,1) model (4.13)-(4.15), with θ0 =<br />
(0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136<br />
4.4 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the weak V<strong>ARMA</strong>(1,1) model (4.13)-(4.15), with θ0 = (0,0,0). . 136<br />
4.5 Empirical size (in %) of the standard and modified versions of the LB<br />
test in the case of the weak V<strong>ARMA</strong>(1,1) model (4.13)-(4.16), with θ0 =<br />
(0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137<br />
4.6 Empirical size (in %) of the standard and modified versions of the LB<br />
test in the case of the weak V<strong>ARMA</strong>(1,1) model (4.13)-(4.17), with θ0 =<br />
(0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137<br />
4.7 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the weak V<strong>ARMA</strong>(2,2) model (4.18)-(4.15). . . . . . . . . . . . 138<br />
4.8 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the strong V<strong>ARMA</strong>(2,2) model (4.18)-(4.14). . . . . . . . . . . 139<br />
4.9 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the strong V<strong>ARMA</strong>(1,1) model (4.13)-(4.14). . . . . . . . . . . 144<br />
4.10 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the strong V<strong>ARMA</strong>(1,1) model (4.13)-(4.14). . . . . . . . . . . 145<br />
4.11 Empirical size (in %) of the standard and modified versions of the LB test in<br />
the case of the weak V<strong>ARMA</strong>(1,1) model (4.13)-(4.15). . . . . . . . . . . . 146