La mémoire longue en économie : discussion et commentaires

Jean-Marc Bardet

Journal de la société française de statistique (1999)

  • Volume: 140, Issue: 2, page 49-54
  • ISSN: 1962-5197

How to cite

top

Bardet, Jean-Marc. "La mémoire longue en économie : discussion et commentaires." Journal de la société française de statistique 140.2 (1999): 49-54. <http://eudml.org/doc/199280>.

@article{Bardet1999,
author = {Bardet, Jean-Marc},
journal = {Journal de la société française de statistique},
language = {fre},
number = {2},
pages = {49-54},
publisher = {Société française de statistique},
title = {La mémoire longue en économie : discussion et commentaires},
url = {http://eudml.org/doc/199280},
volume = {140},
year = {1999},
}

TY - JOUR
AU - Bardet, Jean-Marc
TI - La mémoire longue en économie : discussion et commentaires
JO - Journal de la société française de statistique
PY - 1999
PB - Société française de statistique
VL - 140
IS - 2
SP - 49
EP - 54
LA - fre
UR - http://eudml.org/doc/199280
ER -

References

top
  1. [Avram (1988)] AVRAM F., On bilinear forms in Gaussian random variables and Toeplitz matrices. Probab. Theory Related Fields, 79 : 37-45, 1988. Zbl0648.60043MR952991
  2. [Bardet et al (2000a)] BARDET J-M., LANG G., PHILIPPE A., OPPENHEIM G. et TAQQU M., Estimators of long-range dependent processes. Dans Long-range dependence : Theory and Applications, à paraître chez Birkhäuser, 2000. Zbl1054.62579
  3. [Bardet (2000b)] BARDET J-M., Les cours d'actifs financiers sont-ils autosimilaires? Preprint. 
  4. [Beran (1994)] BERAN J., Statistics for Long-Memory Processes. New York : Chapmann and Hall. 1994. Zbl0869.60045MR1304490
  5. [Dahlhaus (1989)] dahl DAHLHAUS R., Efficient parameter estimation for self-similar processes. Annals of Statistics, 17 : 1749-1746, 1989. Zbl0703.62091MR1026311
  6. [Doukhan et al. (2000)] DOUKHAN P., OPPENHEIM G. et TAQQU M., eds. Long-range dependence : Theory and Applications. A paraître chez Birkhäuser, 2000. 
  7. [Fox et Taqqu (1986)] FOX R. et TAQQU M.Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series. Annals of Statistics, 14 : 517-532, 1986. Zbl0606.62096MR840512
  8. [Giraïtis et Surgaïlis (1990)] GIRAÏTIS L. et SURGAÏLIS D., A central limit theorem for quadratic forms in strongly dependent linear variables and its application to asymptotical normality of Whittle's estimate. Probab. Theory Related Fields, 86 : 87-104, 1990. Zbl0717.62015MR1061950
  9. [Giraïtis et al. (1997)] GIRAÏTIS L., ROBINSON P.M. et SAMAROV A., Rate optimal semiparametric estimation of the memory parameter of the Gaussian time series with long-range dependence. Journal of Time Series Analysis, 18 : 49-60, 1997. Zbl0870.62073MR1437741
  10. [Hurvich et Brodsky (1997)] HURVICH C.M. et BRODSKY J., Broadband semipara-metric estimation of the memory parameter of a long memory time series using fractional exponential models. Technical report, New-York University Leonard Stern School of Business, SOR-97-2, 1997. 
  11. [Hurvich et Deo (1999)] HURVICH C.M. et DEO R., Plug-in selection of the number of frequencies in regression estimates of the memory parameter of a long-memory time series. Journal of Time Series Analysis, 20 : 331-341, 1999. Zbl0933.62095MR1693157
  12. [Iouditsky et al. (1999)] IOUDITSKY A., MOULINES E. et SOULIER P., Adaptive estimation of the fractional differencing coefficient. Soumis pour publication. Zbl1006.62082
  13. [Istas (2000)] ISTAS J., Identification des paramètres d'un processus gaussien fractionnaire. Preprint. 
  14. [Lang et Azaïs (1999)] LANG G. et AZAÏS J.-M., Non parametric estimation of the long-range dependence exponent for a Gaussian process. Journal of Statistical Planning and Inferences, 80 :59-80, 1999. Zbl0929.62090
  15. [Léon et Ludeña (2000)] LEÓN J.R. et LUDEÑA C., Estimating the diffusion coefficient for diffusions driven by fBm. A paraître dans Stat. Inference and Stock. Process. Zbl0966.62051
  16. [Moulines et Soulier (1999)] MOULINES E. et SOULIER P., Log-periodogram regression of time series with long range dependence. Annals of Statistics, 27 : 1415-1439, 1999. Zbl0962.62085MR1740105
  17. [Moulines et Soulier (2000a)] MOULINES E. et SOULIER P., Data driven order selection for projection estimator of the spectral density of time series with long range dependence. Journal of Time Series Analysis, 21 : 193-218, 2000. Zbl0958.62091MR1771843
  18. [Moulines et Soulier (2000b)] MOULINES E. et SOULIER P., Semiparametric spectral estimation for fractional processes. Dans Long-range dependence : Theory and Applications, à paraître chez Birkauser, 2000. Zbl1109.62353
  19. [Robinson (1994a)] ROBINSON P., Semiparametric analysis of long-memory time series. Annals of Statistics, 22 : 515-539, 1994. Zbl0795.62082MR1272097
  20. [Robinson (1994b)] ROBINSON P., Time series with long-range dependence. Advances in econometrics. Proceedings of the sixth world congress, 1994. 
  21. [Robinson (1995a)] ROBINSON P., Log-periodogram regression of time series with long range dependence. Annals of Statistics, 23 : 1048-1072, 1995. Zbl0838.62085MR1345214
  22. [Robinson (1995b)] ROBINSON P., Gaussian semiparametric estimation of long range dependence. Annals of Statistics, 23 : 1630-1661, 1995. Zbl0843.62092MR1370301
  23. [Taqqu et Levy (1986)] TAQQU M. et LEVY J.Using renewal processes to generate long-range dependence and high variablility. Dans Dependence in Probability and Statistics. Eberlein E., Taqqu M.S eds, Progress in Probab. and Statist., 11, Birkhäuser, 2000. Zbl0601.60085MR899985
  24. [Taqqu et al. (1997)] TAQQU M., WILLINGER W. et SHERMAN R., Proof of a fundamental result in self-similar traffic modelling. Computer Communication Review, 27 : 5-23, 1997. 

NotesEmbed ?

top

You must be logged in to post comments.

To embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.

Only the controls for the widget will be shown in your chosen language. Notes will be shown in their authored language.

Tells the widget how many notes to show per page. You can cycle through additional notes using the next and previous controls.

    
                

Note: Best practice suggests putting the JavaScript code just before the closing </body> tag.