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

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Chapitre 2. Estimating weak structural VARMA models 76 2.8 Bibliography Andrews, D.W.K. (1991) Heteroskedasticity and autocorrelation consistent covariance matrix estimation. Econometrica 59, 817–858. Berk, K.N. (1974) Consistent Autoregressive Spectral Estimates. Annals of Statistics, 2, 489–502. Brockwell, P.J. and Davis, R.A. (1991) Time series : theory and methods. Springer Verlag, New York. den Hann, W.J. and Levin, A. (1997) A Practitioner’s Guide to Robust Covariance Matrix Estimation. In Handbook of Statistics 15, Rao, C.R. and G.S. Maddala (eds), 291–341. Duchesne, P. and 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., and 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. and Hannan, E.J. (1976) Vector linear time series models, Advances in Applied Probability 8, 339–364. Fan, J. and Yao, Q. (2003) Nonlinear time series : Nonparametric and parametric methods. Springer Verlag, New York. Francq, C. and Raïssi, H. (2007) Multivariate Portmanteau Test for Autoregressive Models with Uncorrelated but Nonindependent Errors, Journal of Time Series Analysis 28, 454–470. Francq, C., Roy, R. and Zakoïan, J-M. (2005) Diagnostic checking in ARMA Models with Uncorrelated Errors, Journal of the American Statistical Association 100, 532–544. Francq, C. and Zakoïan, J-M. (1998) Estimating linear representations of nonlinear processes, Journal of Statistical Planning and Inference 68, 145–165. Francq, and 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, and Zakoïan, J-M. (2007) HAC estimation and strong linearity testing in weak ARMA models, Journal of Multivariate Analysis 98, 114–144. Hannan, E.J. (1976) The identification and parametrization of ARMAX and state space forms, Econometrica 44, 713–723. Hannan, E.J. and Deistler, M. (1988) The Statistical Theory of Linear Systems John Wiley, New York.
Chapitre 2. Estimating weak structural VARMA models 77 Hannan, E.J., Dunsmuir, W.T.M. and Deistler, M. (1980) Estimation of vector ARMAX models, Journal of Multivariate Analysis 10, 275–295. Hannan, E.J. and Rissanen (1982) Recursive estimation of mixed of Autoregressive Moving Average order, Biometrika 69, 81–94. Herrndorf, N. (1984) A Functional Central Limit Theorem for Weakly Dependent Sequences of Random Variables. The Annals of Probability 12, 141–153. Imhof, J.P. (1961) Computing the distribution of quadratic forms in normal variables. Biometrika 48, 419–426. Kascha, C. (2007) A Comparison of Estimation Methods for Vector Autoregressive Moving-Average Models. ECO Working Papers, EUI ECO 2007/12, http ://hdl.handle.net/1814/6921. Lütkepohl, H. (1993) Introduction to multiple time series analysis. Springer Verlag, Berlin. Lütkepohl, H. (2005) New introduction to multiple time series analysis. Springer Verlag, Berlin. Newey, W.K., and West, K.D. (1987) A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica 55, 703–708. Nsiri, S., and Roy, R. (1996) Identification of refined ARMA echelon form models for multivariate time series. Journal of Multivariate Analysis 56, 207–231. Reinsel, G.C. (1997) Elements of multivariate time series Analysis. Second edition. Springer Verlag, New York. Rissanen, J. and Caines, P.E. (1979) The strong consistency of maximum likelihood estimators for ARMA processes. Annals of Statistics 7, 297–315. Romano, J.L. and Thombs, L.A. (1996) Inference for autocorrelations under weak assumptions, Journal of the American Statistical Association 91, 590–600. Tong, H. (1990) Non-linear time series : A Dynamical System Approach, Clarendon Press Oxford. van der Vaart, A.W. (1998) Asymptotic statistics, Cambridge University Press, Cambridge. Wald, A. (1949) Note on the consistency of the maximum likelihood estimate. Annals of Mathematical Statistics 20, 595–601.
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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
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Chapitre 1 Introduction Lorsque l
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Chapitre 1. Introduction 3 Pour les
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Chapitre 1. Introduction 5 VARMA(p0
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Chapitre 1. Introduction 7 obtenir
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Chapitre 1. Introduction 9 les outi
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Chapitre 1. Introduction 11 1.1.1 E
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Chapitre 1. Introduction 13 Propri
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Chapitre 1. Introduction 15 H7 : Po
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Chapitre 1. Introduction 17 Défini
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Chapitre 1. Introduction 19 où λ
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Chapitre 1. Introduction 21 Remarqu
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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 and 64: Références bibliographiques Ahn,
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Page 67 and 68: Chapitre 2 Estimating structural VA
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