Modèles de séries chronologiques avec seuils

G. Mélard; R. Roy

Revue de Statistique Appliquée (1988)

  • Volume: 36, Issue: 4, page 5-23
  • ISSN: 0035-175X

How to cite

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Mélard, G., and Roy, R.. "Modèles de séries chronologiques avec seuils." Revue de Statistique Appliquée 36.4 (1988): 5-23. <http://eudml.org/doc/106247>.

@article{Mélard1988,
author = {Mélard, G., Roy, R.},
journal = {Revue de Statistique Appliquée},
language = {fre},
number = {4},
pages = {5-23},
publisher = {Société de Statistique de France},
title = {Modèles de séries chronologiques avec seuils},
url = {http://eudml.org/doc/106247},
volume = {36},
year = {1988},
}

TY - JOUR
AU - Mélard, G.
AU - Roy, R.
TI - Modèles de séries chronologiques avec seuils
JO - Revue de Statistique Appliquée
PY - 1988
PB - Société de Statistique de France
VL - 36
IS - 4
SP - 5
EP - 23
LA - fre
UR - http://eudml.org/doc/106247
ER -

References

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  2. [2] J. Anděl, I. Netuka et K. Zvára (1984). - On threshold autoregressive processes, Kybernetika, 20, 89-106. Zbl0547.62058MR747062
  3. [3] C.F. Ansley et R. Kohn (1983). - Exact likelihood of vector autoregressive moving-average process with missing or aggregated data, Biometrika, 70, 275-278. Zbl0502.62081MR742998
  4. [4] G.E.P. Box et G.M. Jenkins (1976). - Time series analysis, forecasting and control, Holden-Day, San Francisco, (revised edition). Zbl0363.62069MR436499
  5. [5] K.S. Chan et H. Tong (1986). - On estimating thresholds in autoregressive models, J. Time Ser. Anal., 7, 179-190. Zbl0596.62085MR857248
  6. [6] H. Cramér (1961). - On some classes of nonstationary stochastic processes, In Proc. 4th Berkeley Symp. Math. Statist. and Prob., Vol. 2, University of California Press, Berkeley and Los Angeles, pp. 57-78. Zbl0121.35001MR150828
  7. [7] C.W.J. Granger et A.P. Andersen (1978). - An introduction to bilinear time series models, Vandenhoek and Ruprecht, Gôttingen. Zbl0379.62074MR483231
  8. [8] E.J. Hannan (1980). - The estimation of the order of an ARMA process, Ann. Statist, 8, 1071-1081. Zbl0451.62068MR585705
  9. [9] V Hannan et T. Ozaki (1980). - Amplitude-dependent exponential AR model fitting for non-linear random vibrations, In O.D. Anderson (Ed.) Time Series, North-Holland, Amsterdam, pp 57-71. Zbl0447.62093
  10. [10] G. Mélard (1982). - The likelihood function of a time-dependent ARMA model, In O.D. Anderson and M.R. Perryman (Eds.) Applied Time Series Analysis, Proceedings of the International Conference held at Houston, Texas, August, 1981, North-Holland, Amsterdam, pp 229-239. Zbl0502.62076MR692621
  11. [11] G. Mélard (1985). — Analyse de données chronologiques, Coll. Séminaire de Mathématiques Supérieures de l'Université de Montréal n° 89, Presses de l'Université de Montréal, Montréal. Zbl0564.62069
  12. [12] J.D. Petruccelli (1986). — On the consistency of least squares estimators for a threshold AR(1) model, J. Time Ser. Anal., 7, 269-278. Zbl0601.62110
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  14. [14] M.B. Priestley (1980). - State-dependent models : a general approach to nonlinear time series, J. Time Ser. Anal., 1, 47-71. Zbl0496.62076MR605574
  15. [15] P.M. Robinson (1977). - The estimation of a non-linear moving average model, Stochastic Processes and their Applications, 5, 81-90. Zbl0357.62072MR428654
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  18. [18] T. Terasvirta et R. Luukkonen (1985). — Choosing between linear and threshold autoregressive models, In O.D. Anderson (Ed.), Time Series Analysis : Theory and Practice, 7, North-Holland, Amsterdam, pp. 129-137. 
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