La mémoire longue en économie : discussion et commentaires
Journal de la société française de statistique (1999)
- Volume: 140, Issue: 2, page 49-54
- ISSN: 1962-5197
Access Full Article
topHow to cite
topBardet, 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- [Avram (1988)] AVRAM F., On bilinear forms in Gaussian random variables and Toeplitz matrices. Probab. Theory Related Fields, 79 : 37-45, 1988. Zbl0648.60043MR952991
- [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
- [Bardet (2000b)] BARDET J-M., Les cours d'actifs financiers sont-ils autosimilaires? Preprint.
- [Beran (1994)] BERAN J., Statistics for Long-Memory Processes. New York : Chapmann and Hall. 1994. Zbl0869.60045MR1304490
- [Dahlhaus (1989)] dahl DAHLHAUS R., Efficient parameter estimation for self-similar processes. Annals of Statistics, 17 : 1749-1746, 1989. Zbl0703.62091MR1026311
- [Doukhan et al. (2000)] DOUKHAN P., OPPENHEIM G. et TAQQU M., eds. Long-range dependence : Theory and Applications. A paraître chez Birkhäuser, 2000.
- [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
- [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
- [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
- [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.
- [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
- [Iouditsky et al. (1999)] IOUDITSKY A., MOULINES E. et SOULIER P., Adaptive estimation of the fractional differencing coefficient. Soumis pour publication. Zbl1006.62082
- [Istas (2000)] ISTAS J., Identification des paramètres d'un processus gaussien fractionnaire. Preprint.
- [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
- [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
- [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
- [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
- [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
- [Robinson (1994a)] ROBINSON P., Semiparametric analysis of long-memory time series. Annals of Statistics, 22 : 515-539, 1994. Zbl0795.62082MR1272097
- [Robinson (1994b)] ROBINSON P., Time series with long-range dependence. Advances in econometrics. Proceedings of the sixth world congress, 1994.
- [Robinson (1995a)] ROBINSON P., Log-periodogram regression of time series with long range dependence. Annals of Statistics, 23 : 1048-1072, 1995. Zbl0838.62085MR1345214
- [Robinson (1995b)] ROBINSON P., Gaussian semiparametric estimation of long range dependence. Annals of Statistics, 23 : 1630-1661, 1995. Zbl0843.62092MR1370301
- [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
- [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 ?
topTo embed these notes on your page include the following JavaScript code on your page where you want the notes to appear.