Sur l'évaluation de la fonction de vraisemblance du modèle ARMA stationnaire

Rose-Marie Kestemont

Statistique et analyse des données (1984)

  • Volume: 9, Issue: 1, page 60-75
  • ISSN: 0750-7364

How to cite

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Kestemont, Rose-Marie. "Sur l'évaluation de la fonction de vraisemblance du modèle ARMA stationnaire." Statistique et analyse des données 9.1 (1984): 60-75. <http://eudml.org/doc/108904>.

@article{Kestemont1984,
author = {Kestemont, Rose-Marie},
journal = {Statistique et analyse des données},
language = {fre},
number = {1},
pages = {60-75},
publisher = {Association pour la statistique et ses illustrations},
title = {Sur l'évaluation de la fonction de vraisemblance du modèle ARMA stationnaire},
url = {http://eudml.org/doc/108904},
volume = {9},
year = {1984},
}

TY - JOUR
AU - Kestemont, Rose-Marie
TI - Sur l'évaluation de la fonction de vraisemblance du modèle ARMA stationnaire
JO - Statistique et analyse des données
PY - 1984
PB - Association pour la statistique et ses illustrations
VL - 9
IS - 1
SP - 60
EP - 75
LA - fre
UR - http://eudml.org/doc/108904
ER -

References

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  1. ALI, M.M. (1977) : Analysis of autoregressive-moving average models : estimation and precision. Biometrika 64, 535-545. Zbl0377.62051MR654508
  2. ALI, M.M. (1978) : Corrections. Biometrika 65, 677. MR654509
  3. ANSLEY, C.F. (1979) : An algorithm for the exact likelihood of a mixed autoregressive-moving average process. Biometrika 66, 59-65. Zbl0411.62059MR529148
  4. BOX, G.E.P. & JENKINS, G.M. (1975) : Time series analysis, Forecasting and Control. Holden-Day, San Francisco (2nd édition). Zbl0363.62069MR436499
  5. DENT, W.T. (1977) : Computation of the exact likelihood function for an ARIMA process. J. Statist. Comput. Simul. 5, 193-206. Zbl0349.62055
  6. GALBRAITH, R.F. & GALBRAITH, J. I. (1974) : On the inverse of some patterned matrices arising in the theory of stationary time series. J. Appl. Prob. 11, 63-71. Zbl0278.62016MR365959
  7. KESTEMONT, R.M. (1980) : La fonction de vraisemblance du modèle ARMA stationnaire. Mémoire de licence en Sciences Mathématiques, U.C.L. 
  8. LJUNG, G.M. & BOX, G.E.P. (1979) : The likelihood function of stationary autoregressive-moving average models. Biometrika 66, 265-270. Zbl0408.62075MR548192
  9. MELARD, G. (1982) : L'application de la méthode du maximum de vraisemblance dans des modèles de séries chronologiques. Cahiers du C.E.R.O., vol. 24, n°s 2-3-4. Zbl0494.62077MR687889
  10. MELARD, G. (1983) : A fast algorithm for the exact likelihood of autoregressive-moving average models. Soumis pour publication. Zbl0548.65098
  11. NEWBOLD, P. (1974) : The exact likelihood function for a mixed autoregressive-moving average process. Biometrika 6 1, 423-426. Zbl0292.62061MR375702
  12. PRIESTLEY, M.B. (1981) : Spectral analysis and time series (vol. I). Academic Press, New York. Zbl0576.62088

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