Estimation d'un modèle V.A.R. par le filtre de Kalman

JSFS

Journal de la société française de statistique (1993)

  • Volume: 134, Issue: 4, page 3-16
  • ISSN: 1962-5197

How to cite

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JSFS. "Estimation d'un modèle V.A.R. par le filtre de Kalman." Journal de la société française de statistique 134.4 (1993): 3-16. <http://eudml.org/doc/198929>.

@article{JSFS1993,
author = {JSFS},
journal = {Journal de la société française de statistique},
language = {fre},
number = {4},
pages = {3-16},
publisher = {Société de statistique de Paris},
title = {Estimation d'un modèle V.A.R. par le filtre de Kalman},
url = {http://eudml.org/doc/198929},
volume = {134},
year = {1993},
}

TY - JOUR
AU - JSFS
TI - Estimation d'un modèle V.A.R. par le filtre de Kalman
JO - Journal de la société française de statistique
PY - 1993
PB - Société de statistique de Paris
VL - 134
IS - 4
SP - 3
EP - 16
LA - fre
UR - http://eudml.org/doc/198929
ER -

References

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  1. AOKI M. ans HAVENNER A. (1991) " State Space Modeling of Time Series", Econometric Reviews, 1-59. Zbl0733.62098MR1108250
  2. CHATFIELD C. (1989) " The Analysis of Time Series : An Introduction", London : Chapman and Hall. Zbl0732.62088MR1037021
  3. CROMWELL J.B., LABYS W. and TERRAZA M. (1993) " Univariate Tests for Time Series Models", Sage publication, Beverly Hills. 
  4. CROMWELL J.B., HANNAN M., LABYS W. and TERRAZA M. (1993) Multivariate Tests for Time Series Models, Sage publication, Beverly Hills. 
  5. CUTITBERSTON K., HALL S.G. ans TAYLOR R.P. (1992) Applied Econometric Technique, Philip Allan. 
  6. GOURIEROUX C. et MONFORT A. (1990) Séries temporelles et modèles dynamiques, Economica, Paris. 
  7. GRANGER C. (1969) " Investigating Causal Relations by Econometric Models and Cross-Spectral Methods", Journal of Econometrics, 424-438. 
  8. GUNEL I. (1987) " Forecasting System Energy Demand", J. of Forecasting, 137-156. 
  9. HARVEY A.C. (1990) Forecasting, Structural Time Series Models and The Kalman Filter, Cambridge Univerty Press. Zbl0725.62083MR1085719
  10. KALMAN R.E. (1960) " A New Approach of Linear Filtering and Prediction Problem", J. of Basic Engineering, 34-45. 
  11. KALMAN R.E. and BUCY R.S. (1961) " New Results in Linear Filtering and Prediction theory", J. of Basic Engineering, 95-108. MR234760
  12. MARHIS A. (1990), Une approche en terme de processus stochastiques vectoriels de la dette publique française, Thèse, E.H.E.S.S. Paris. 
  13. MONFORT A. (1990) Les axes de développement des méthodes macroéconométriques, INSEE, Doc. de travail n°9014. 
  14. NELSON R. (1987) " State-Space Modeling of Residential, Commercial and Peak Demands", J. of Forecasting, 97-115. 
  15. OTTER P.W. (1985) Dynamic Feature Space Modelling, Filtering and Selftuning Control ofStochastic Systems, Springer Verlag Heidelberg. Zbl0567.93002MR871686
  16. SIMS C. (1980) " Macroeconomics and Reality", Econometrica, 1-48. 

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