Estimation de Yule–Walker d'un CAR(p) observé à temps discret

Sandie Souchet; Xavier Guyon

Annales de l'I.H.P. Probabilités et statistiques (2002)

  • Volume: 38, Issue: 6, page 1093-1100
  • ISSN: 0246-0203

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Souchet, Sandie, and Guyon, Xavier. "Estimation de Yule–Walker d'un CAR(p) observé à temps discret." Annales de l'I.H.P. Probabilités et statistiques 38.6 (2002): 1093-1100. <http://eudml.org/doc/77741>.

@article{Souchet2002,
author = {Souchet, Sandie, Guyon, Xavier},
journal = {Annales de l'I.H.P. Probabilités et statistiques},
keywords = {continuous autoregressive model of order p; Gaussian diffusions; Yule-Walker equation; biased estimation; asymptotic normality; asymptotic efficiency},
language = {fre},
number = {6},
pages = {1093-1100},
publisher = {Elsevier},
title = {Estimation de Yule–Walker d'un CAR(p) observé à temps discret},
url = {http://eudml.org/doc/77741},
volume = {38},
year = {2002},
}

TY - JOUR
AU - Souchet, Sandie
AU - Guyon, Xavier
TI - Estimation de Yule–Walker d'un CAR(p) observé à temps discret
JO - Annales de l'I.H.P. Probabilités et statistiques
PY - 2002
PB - Elsevier
VL - 38
IS - 6
SP - 1093
EP - 1100
LA - fre
KW - continuous autoregressive model of order p; Gaussian diffusions; Yule-Walker equation; biased estimation; asymptotic normality; asymptotic efficiency
UR - http://eudml.org/doc/77741
ER -

References

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  1. [1] M. Arató, Linear Stochastic Systems with Constant Coefficients: A Statistical Approach, Lecture Notes in Control and Information Sciences, 45, Springer, Berlin, 1982. Zbl0544.93060MR791212
  2. [2] M.S. Bartlett, On the theoretical specification and sampling properties of autocorrelated time-series, JRSS B8 (1946) 27-41. Zbl0063.00228MR18393
  3. [3] A.R. Bergstrom, Statistical inference in continuous time series, in: Bergstrom (Ed.), Statistical inference in Continuous Time Economic Models, North Holand, Amsterdam, 1976. Zbl0348.00027
  4. [4] P.J. Brockwell, R.J. Hyndman, On continuous-time threshold autoregression, Internat. J. Forecasting8 (1992) 157-173. 
  5. [5] J.L. Doob, Stochastic Process, Wiley, New York, 1953. MR58896
  6. [6] P. Doukhan, Mixing: Properties and Examples, LNS, 85, Springer-Verlag, 1995. Zbl0801.60027MR1312160
  7. [7] X. Guyon, S. Souchet, Estimation de Yule–Walker d'un CAR(p) observé à temps discret, Prépublication SAMOS n° 138, 2001, http://samos.univ-paris1.fr/. 
  8. [8] R.J. Hyndman, Yule–Walker estimates for continuous-time autoregressive models, JTSA14 (3) (1993) 281-296. Zbl0771.62070
  9. [9] S. Souchet, Estimation des paramètres d'une diffusion ergodique observée à temps discret, Thèse de l'Université Paris 1, 1998, http://samos.univ-paris1.fr/. 

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