Séquences généralisées : un outil pour l'analyse des séries hétéroscédastiques ?

Marc Hallin

Journal de la société française de statistique (1994)

  • Volume: 135, Issue: 3, page 7-19
  • ISSN: 1962-5197

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Hallin, Marc. "Séquences généralisées : un outil pour l'analyse des séries hétéroscédastiques ?." Journal de la société française de statistique 135.3 (1994): 7-19. <http://eudml.org/doc/199606>.

@article{Hallin1994,
author = {Hallin, Marc},
journal = {Journal de la société française de statistique},
language = {fre},
number = {3},
pages = {7-19},
publisher = {Société de statistique de Paris},
title = {Séquences généralisées : un outil pour l'analyse des séries hétéroscédastiques ?},
url = {http://eudml.org/doc/199606},
volume = {135},
year = {1994},
}

TY - JOUR
AU - Hallin, Marc
TI - Séquences généralisées : un outil pour l'analyse des séries hétéroscédastiques ?
JO - Journal de la société française de statistique
PY - 1994
PB - Société de statistique de Paris
VL - 135
IS - 3
SP - 7
EP - 19
LA - fre
UR - http://eudml.org/doc/199606
ER -

References

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  1. CAMPBELL B. and DUFOUR J.-M. (1993) " Exact Nonparametric Orthogonality and Random Walk Tests", R. Economics and Statistics, à paraître. 
  2. CAMPBELL B. and DUFOUR J.-M. (1994) Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence ofa Drift Parameter. Discussion paper CRDE, Université de Montréal, Montréal. 
  3. CAMPBELL B. and GALBRATTH J.W. (1994) " Inference in Expectations Models of the Term Structure" in New Developments in Time Series Econometrics, J.-M. Dufour and B. Raj, Eds, Springer-Verlag, New York, pp. 67-82. Zbl0825.62970MR1333219
  4. CHERNOFF H. and SAVAGE I.R. (1958) " Asymptotic Normality and Efficiency of Certain Nonparametric Tests". Annals of Mathematical Statistics, pp. 972-994. Zbl0092.36501MR100322
  5. DUFOUR J.-M. (1981) " Rank Tests for Serial Dependence". J. of Time Séries Analysis, pp. 117-228. Zbl0514.62054MR640209
  6. DUFOUR J.-M. and HALLIN M. (1991) " Nonumiform Bounds for Nonparametric t-Tests". Econometric Theory, pp. 253-263. MR1128416
  7. DUFOUR J.-M. and HALLEN M. (1993) " Improved Eaton Bounds for Linear Combinations of Bounded Random Variables, with Statistical Applications", J. of the American Statistical Association, pp. 1026-1033. Zbl0792.62041MR1242946
  8. DUFOUR J.-M. and HALLIN M. ( 1994a). Distribution-free Bounds for Serial Correlation Coefficients, Unpublished manuscript, CRDE, Université de Montréal, Montréal. 
  9. DUFOUR J.-M. and HALLIN M. ( 1994b) Exact Inference for Time Series Analysis Based on Generalized Runs, Unpublished manuscript, Département de Mathématique, U.L.B. 
  10. HALLIN M. (1994) " On the Pitman Nonadmissibility of Correlogram-based Methods", J. Time Séries Analysis, à paraître. Zbl0807.62068
  11. HALLIN M. and PURI M.L. (1991) " Time Series Analysis via Rank-order Theory : Signed-rank Tests for ARMA Models", J. Multivariate Analysis, pp. 1-29. Zbl0751.62041MR1128669
  12. HALLIN M. and PURI M.L. (1992) " Rank Tests for Time-series Analysis : a Survey", in New Directions in Time Series Analysis, D. Brillinger, E. Parzen and M. Rosenblatt, Eds, Springer-Verlag, New York, pp. 111-154. Zbl0768.62075MR1235582
  13. HALLIN M. and PURI M.L. (1994). " Aligned Rank Tests for Linear Models with Autocorrelated Error Terms", J. of Multivariate Analysis, pp. 175-237. Zbl0805.62050MR1293044
  14. LEHMANN E.L. (1986) Testing Statistical Hypotheses, 2nd Edition, Wiley, New York. Zbl0089.14102MR852406
  15. MOOD A.M. (1940) " The Distribution Theory of Runs", Annals of Mathematical Statistics, pp. 367-392. Zbl0024.05301MR3493JFM66.0645.02
  16. SEN P.K. (1970) " A Note on Order Statistics for Heterogeneous Distributions", Annals of Mathematical Statistics, pp. 2137-2139. Zbl0216.22003MR267711

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