THÈSE Estimation, validation et identification des modèles ARMA ...

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Liste des tableaux 2.1 Empirical size of standard and modified tests : relative frequencies (in %) of rejection of H0 : b1(2,2) = 0. The number of replications is N = 1000. . . . 67 2.2 Empirical power of standard and modified tests : relative frequencies (in %) of rejection of H0 : b1(2,2) = 0. The number of replications is N = 1000. . . . 68 4.1 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(1,1) model (4.13)-(4.14), with θ0 = (0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 135 4.2 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(1,1) model (4.13)-(4.14), with θ0 = (0,0,0). 135 4.3 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.15), with θ0 = (0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 136 4.4 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.15), with θ0 = (0,0,0). . 136 4.5 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.16), with θ0 = (0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 4.6 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.17), with θ0 = (0.225,−0.313,0.750). . . . . . . . . . . . . . . . . . . . . . . . . . . . . 137 4.7 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(2,2) model (4.18)-(4.15). . . . . . . . . . . . 138 4.8 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(2,2) model (4.18)-(4.14). . . . . . . . . . . 139 4.9 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(1,1) model (4.13)-(4.14). . . . . . . . . . . 144 4.10 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(1,1) model (4.13)-(4.14). . . . . . . . . . . 145 4.11 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.15). . . . . . . . . . . . 146
4.12 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.15). . . . . . . . . . . . 147 4.13 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.16). . . . . . . . . . . . 148 4.14 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(1,1) model (4.13)-(4.17). . . . . . . . . . . . 149 4.15 Empirical size (in %) of the standard and modified versions of the LB test in the case of the weak VARMA(2,2) model (4.18)-(4.15). . . . . . . . . . . . 150 4.16 Empirical size (in %) of the standard and modified versions of the LB test in the case of the strong VARMA(2,2) model (4.18)-(4.14). . . . . . . . . . . 151 x
Page 1 and 2: UNIVERSITÉ CHARLES DE GAULLE - LIL
Page 3 and 4: Résumé Dans cette thèse nous él
Page 5 and 6: Abstract The goal of this thesis is
Page 7 and 8: Table des matières Résumé ii Abs
Page 9: 4.6 Limiting distribution of the po
Page 13 and 14: Chapitre 1 Introduction Lorsque l
Page 15 and 16: Chapitre 1. Introduction 3 Pour les
Page 17 and 18: Chapitre 1. Introduction 5 VARMA(p0
Page 19 and 20: Chapitre 1. Introduction 7 obtenir
Page 21 and 22: Chapitre 1. Introduction 9 les outi
Page 23 and 24: Chapitre 1. Introduction 11 1.1.1 E
Page 25 and 26: Chapitre 1. Introduction 13 Propri
Page 27 and 28: Chapitre 1. Introduction 15 H7 : Po
Page 29 and 30: Chapitre 1. Introduction 17 Défini
Page 31 and 32: Chapitre 1. Introduction 19 où λ
Page 33 and 34: Chapitre 1. Introduction 21 Remarqu
Page 35 and 36: Chapitre 1. Introduction 23 où Eij
Page 37 and 38: Chapitre 1. Introduction 25 La dém
Page 39 and 40: Chapitre 1. Introduction 27 Théor
Page 41 and 42: Chapitre 1. Introduction 29 La sél
Page 43 and 44: Chapitre 1. Introduction 31 La dém
Page 45 and 46: Chapitre 1. Introduction 33 de BP d
Page 47 and 48: Chapitre 1. Introduction 35 Théor
Page 49 and 50: Chapitre 1. Introduction 37 Les exp
Page 51 and 52: Chapitre 1. Introduction 39 indispe
Page 53 and 54: Chapitre 1. Introduction 41 Lemme 1
Page 55 and 56: Chapitre 1. Introduction 43 En util
Page 57 and 58: Chapitre 1. Introduction 45 I11 = 2
Page 59 and 60: Chapitre 1. Introduction 47 ceux-ci
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Chapitre 1. Introduction 49 Remarqu
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Références bibliographiques Ahn,
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Chapitre 1. Introduction 53 Hannan,
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Chapitre 2 Estimating structural VA
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Chapitre 2. Estimating weak structu
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1(2, 2) − b ^ 1(2, 2) Density Cha
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Chapitre 3. Estimating the asymptot
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Chapitre 4. Multivariate portmantea
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THÈSE Estimation, validation et identification des modèles ARMA ...

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