Un processus autorégressif à loi marginale exponentielle. Propriétés asymptotiques et estimation de maximum de vraisemblance

A. Raftery

Annales scientifiques de l'Université de Clermont. Mathématiques (1981)

  • Volume: 69, Issue: 19, page 149-159
  • ISSN: 0249-7042

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Raftery, A.. "Un processus autorégressif à loi marginale exponentielle. Propriétés asymptotiques et estimation de maximum de vraisemblance." Annales scientifiques de l'Université de Clermont. Mathématiques 69.19 (1981): 149-159. <http://eudml.org/doc/80499>.

@article{Raftery1981,
author = {Raftery, A.},
journal = {Annales scientifiques de l'Université de Clermont. Mathématiques},
keywords = {autoregressive processes; exponential marginal law},
language = {fre},
number = {19},
pages = {149-159},
publisher = {UER de Sciences exactes et naturelles de l'Université de Clermont},
title = {Un processus autorégressif à loi marginale exponentielle. Propriétés asymptotiques et estimation de maximum de vraisemblance},
url = {http://eudml.org/doc/80499},
volume = {69},
year = {1981},
}

TY - JOUR
AU - Raftery, A.
TI - Un processus autorégressif à loi marginale exponentielle. Propriétés asymptotiques et estimation de maximum de vraisemblance
JO - Annales scientifiques de l'Université de Clermont. Mathématiques
PY - 1981
PB - UER de Sciences exactes et naturelles de l'Université de Clermont
VL - 69
IS - 19
SP - 149
EP - 159
LA - fre
KW - autoregressive processes; exponential marginal law
UR - http://eudml.org/doc/80499
ER -

References

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  1. 1 Billingsley, P. (1968). Convergence of probability measures, Wiley, New York. Zbl0172.21201MR233396
  2. 2 Doob, J.L. (1953). Stochastic processes, Wiley, New York, p. 489. Zbl0053.26802MR58896
  3. 3 Erdelyi, A., Magnus, W., Oberhettinger, F., Tricani, F.G. (1955). Higher transcendental functions, vol. 3, McGraw-Hill, New York, p. 176. Zbl0064.06302
  4. 4 Gaver, D.P., Lewis, P.A.W. (1975-80). "First order autoregressive gamma sequences ", J. Appl. Prob. A paraître. Zbl0453.60048
  5. 5 Jacobs, P.A. (1978). "A closed cyclic queueing network with dependent exponential service times", J. Appl. Prob.15, 573-589. Zbl0383.60091MR494562
  6. 6 Jacobs, P.A., Lewis, P.A.W. (1977). A mixed autoregressivemoving average exponential sequence and point process (EARMA 1,1)Adv. Appl. Prob.9, 87-104. Zbl0364.60082MR428435
  7. 7 Johnson, N.L., Kotz, S. (1970). Continuous univariate distributions-1, Houghton Mifflin, Boston, p. 222. Zbl0821.62001
  8. 8 Lawrance, A.J. (1979). "Some autoregressive models for point processes ", Proc. Bolyai Janos Math. Soc. Colloq. on Point Processes and Queueing theory, North-Holland. A paraître. Zbl0458.60050MR617410
  9. 9 Lawrance, A.J., Lewis, P.A.W. (1977). "A moving average exponential point process (EMA 1)", J. Appl. Prob.14, 98-113. Zbl0442.60051MR428434
  10. 10 Lewis, P.A.W., Shedler, G.S. (1977). "Analysis and modelling of point processes in computer systems", Proc. 41st Session Int. Statist. Inst. 
  11. 11 Loève, M. (1963). Probability theory, 3rd ed., Van Nostrand, Princeton, p. 387. Zbl0095.12201MR203748
  12. 12 Rosenblatt, M. (1971). Markov processes. Structure and asymptotic behaviour, Springer-Verlag, Berlin, ch. 7. Zbl0236.60002MR329037

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