Détection d'une rupture de moyenne en un point inconnu d'un processus ARMA

Bernard Chalmond

Revue de Statistique Appliquée (1981)

  • Volume: 29, Issue: 1, page 7-20
  • ISSN: 0035-175X

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Chalmond, Bernard. "Détection d'une rupture de moyenne en un point inconnu d'un processus ARMA." Revue de Statistique Appliquée 29.1 (1981): 7-20. <http://eudml.org/doc/106116>.

@article{Chalmond1981,
author = {Chalmond, Bernard},
journal = {Revue de Statistique Appliquée},
keywords = {ARMA-processes; change point detection; maximum likelihood; cumulative sum of deviations},
language = {fre},
number = {1},
pages = {7-20},
publisher = {Société de Statistique de France},
title = {Détection d'une rupture de moyenne en un point inconnu d'un processus ARMA},
url = {http://eudml.org/doc/106116},
volume = {29},
year = {1981},
}

TY - JOUR
AU - Chalmond, Bernard
TI - Détection d'une rupture de moyenne en un point inconnu d'un processus ARMA
JO - Revue de Statistique Appliquée
PY - 1981
PB - Société de Statistique de France
VL - 29
IS - 1
SP - 7
EP - 20
LA - fre
KW - ARMA-processes; change point detection; maximum likelihood; cumulative sum of deviations
UR - http://eudml.org/doc/106116
ER -

References

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  2. [2] M.S. Barlett (1946). - On the theorical specification of sampling properties of autocorrelated time series. Journal of the Royal Statistical Society, B, 28. Zbl0063.00228
  3. [3] P. Billingsley (1968). - Convergence of Probability Measures. John-Wiley. Zbl0172.21201MR233396
  4. [4] B.E.P. Box et M.J. Jenkins (1970). - Time Series Analysis, Forecasting and Control. Holden-Day. Zbl0249.62009MR272138
  5. [5] G.E.P. Box et G.C. Tiao (1975). - Intervention analysis with applications to economic and environment problems. Journal of the American Statistical Association, 70, 349. Zbl0316.62045MR365957
  6. [6] R.L. Brown et J. Durbin et J.M. Evans (1975). - Techniques for testing the constancy of regression relationships over times. J. R. Stat. Soc, 37, 2. Zbl0321.62063MR378310
  7. [7] B. Chalmond (1979). - Ruptures de modèles pour des processus auto-régressifs. Thèse de 3e cycle. Université Paris Sud. 
  8. [8] J. Deshayes et D. Picard (1979). - Application aux tests de rupture de régression. Astérisque68. Zbl0436.62074
  9. [9] J.L. Doob (1949). - Heuristic approach to the Kolmogorov-Smirnov theorem. Ann. Math. Stat, 20. Zbl0035.08901MR30732
  10. [10] D. Hawkins (1977). - Testing a sequence for a shift in location. J. Amer. Stat. Ass, 72, 357. Zbl0346.62027MR451496
  11. [11] R.A. Jonhson et M. Bagshaw (1974). - The effect of serial correlation on the performance of cusum test. Technometrics, 16, 1. Zbl0277.62069MR345388
  12. [12] R. Marona et V. Yohai (1978). - A bivariate test for the detection of a systematic change in mean. J. Amer. Stat. Ass, 73, 363. Zbl0387.62048MR514168
  13. [13] E.S. Page (1955). - A test for a change in a parameter occuring at an unknow point. Biometrika, 42. Zbl0067.11602MR72412
  14. [14] G.C. Tiao et G.E.P. Box (1975). - Journal of Air Pollution, 25. 

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