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

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Chapitre 1. Introduction 52 Duchesne, P. et Roy, R. (2004) On consistent testing for serial correlation of unknown form in vector time series models. Journal of Multivariate Analysis 89, 148–180. Dufour, J-M. et Pelletier, D. (2005) Practical methods for modelling weak VARMA processes : identification, estimation and specification with a macroeconomic application. Technical report, Département de sciences économiques and CIREQ, Université de Montréal, Montréal, Canada. Dunsmuir, W.T.M. et Hannan, E.J. (1976) Vector linear time series models, Advances in Applied Probability 8, 339–364. Engle, R. F. (1982) Autoregressive conditional heteroskedasticity with estimates of the variance of the United Kingdom inflation. Econometrica 50, 987–1007. Fan, J. et Yao, Q. (2003) Nonlinear time series : Nonparametric and parametric methods. Springer Verlag, New York. Findley, D.F. (1993) The overfitting principles supporting AIC, Statistical Research Division Report RR 93/04, Bureau of the Census. Francq, C. and Raïssi, H. (2006) Multivariate Portmanteau Test for Autoregressive Models with Uncorrelated but Nonindependent Errors, Journal of Time Series Analysis 28, 454–470. Francq, C., Roy, R. et Zakoïan, J-M. (2005) Diagnostic checking in ARMA Models with Uncorrelated Errors, Journal of the American Statistical Association 100, 532–544. Francq, C. et Zakoïan, J-M. (1998) Estimating linear representations of nonlinear processes, Journal of Statistical Planning and Inference 68, 145–165. Francq, C. et Zakoïan, J-M. (2000) Covariance matrix estimation of mixing weak ARMA models, Journal of Statistical Planning and Inference 83, 369–394. Francq, C. et Zakoïan, J-M. (2005) Recent results for linear time series models with non independent innovations. In Statistical Modeling and Analysis for Complex Data Problems, Chap. 12 (eds P. Duchesne and B. Rémillard). New York : Springer Verlag, 137–161. Francq, C. et Zakoïan, J-M. (2007) HAC estimation and strong linearity testing in weak ARMA models, Journal of Multivariate Analysis 98, 114–144. Francq,C. et Zakoïan, J-M. (2009) Modèles GARCH : structure, inférence statistique et applications financières. Collection Economie et Statistiques Avancées, Economica. Hall, P. et Heyde, C. C. (1980)Martingale limit theory and its application Academic press, New York. Hannan, E.J. (1976) The identification and parametrization of ARMAX and state space forms, Econometrica 44, 713–723. Hannan, E.J. et Deistler, M. (1988) The Statistical Theory of Linear Systems John Wiley, New York.
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UNIVERSITÉ CHARLES DE GAULLE - LIL
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Résumé Dans cette thèse nous él
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Abstract The goal of this thesis is
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Table des matières Résumé ii Abs
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4.6 Limiting distribution of the po
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4.12 Empirical size (in %) of the s
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
Page 61 and 62: Chapitre 1. Introduction 49 Remarqu
Page 63: Références bibliographiques Ahn,
Page 67 and 68: Chapitre 2 Estimating structural VA
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Chapitre 3. Estimating the asymptot
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Chapitre 4. Multivariate portmantea
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Chapitre 5. Model selection of weak
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THÈSE Estimation, validation et identification des modèles ARMA ...

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