Choix de modèle en analyse des séries chronologiques
Statistique et analyse des données, Tome 15 (1990) no. 1, pp. 61-90.
@article{SAD_1990__15_1_61_0,
     author = {Pham, Dinh Tuan},
     title = {Choix de mod\`ele en analyse des s\'eries chronologiques},
     journal = {Statistique et analyse des donn\'ees},
     pages = {61--90},
     publisher = {Association pour la statistique et ses illustrations},
     volume = {15},
     number = {1},
     year = {1990},
     language = {fr},
     url = {http://archive.numdam.org/item/SAD_1990__15_1_61_0/}
}
TY  - JOUR
AU  - Pham, Dinh Tuan
TI  - Choix de modèle en analyse des séries chronologiques
JO  - Statistique et analyse des données
PY  - 1990
SP  - 61
EP  - 90
VL  - 15
IS  - 1
PB  - Association pour la statistique et ses illustrations
UR  - http://archive.numdam.org/item/SAD_1990__15_1_61_0/
LA  - fr
ID  - SAD_1990__15_1_61_0
ER  - 
%0 Journal Article
%A Pham, Dinh Tuan
%T Choix de modèle en analyse des séries chronologiques
%J Statistique et analyse des données
%D 1990
%P 61-90
%V 15
%N 1
%I Association pour la statistique et ses illustrations
%U http://archive.numdam.org/item/SAD_1990__15_1_61_0/
%G fr
%F SAD_1990__15_1_61_0
Pham, Dinh Tuan. Choix de modèle en analyse des séries chronologiques. Statistique et analyse des données, Tome 15 (1990) no. 1, pp. 61-90. http://archive.numdam.org/item/SAD_1990__15_1_61_0/

Akaike, H. (1969) Fitting autoregressive model for prediction. Ann. Inst. Statist. Math., 21, pp. 243-247. | MR | Zbl

Akaike, H. (1970) Statistical predictor identification. Ann. Inst. Statist. Math., 22, pp. 203-217. | MR | Zbl

Akaike, H. (1973) Information theory and an extension of the maximum likelihood principle. Dans 2nd Int. Symposium on Information Theory, pp. 267-281. Eds B.N. Pretov et F. Csaki, Académia Budapest Kiado, Budapest. | MR | Zbl

Akaike, H. (1978) A Bayesian analysis for the minimum AIC procedure. Ann. Inst. Statist. Math., 30, pp. 9-14. | MR | Zbl

Akaike, H. (1979) A Bayesian extensian extension of the minimum AIC procedure for autoregressive model fitting. Biometrika, 66, pp. 237-242. | MR | Zbl

Ansley, C. S. (1979) An algorithm for the exact likelihood of a mixed autoregressive-moving average process, Biometrika, 66, pp. 59-65. | MR | Zbl

Atkinson, A.C. (1980) A note on the generalized information criterion for choice of a model. Biometrika, 67, pp. 413-418. | Zbl

Béguin, J.M., Gourieroux, C., Montfort, A. (1980) Identification of a mixed autoregressive moving average process : the corner method. Time Series, pp. 423-426, éd. O.D. Andersen, Amsterdam : North-Holland. | MR | Zbl

Bednard, J.B., Roberts, B. (1985) On the relationship between Levinson recursion and the R and S array for ARMA model identification. Comm. Statist. Theory and Methodsy 14, pp. 1217-1248. | MR | Zbl

Berlinet, A. (1984) Sur quelques problèmes d'estimation fonctionnelle et de statistique de processus. Thèse doctorat, Université de Lille.

Berlinet, A. (1985) Sequence transformations as a statistical tools. Applied Numerical Math., 1,pp. 531-544. North-Holland. | MR | Zbl

Bhansali, R.J. (1980) Autoregressive and windowed estimates of the inverse autocorrelation. Biometrika, 67, pp. 551-566. | MR | Zbl

Bhansali, R.J. (1983) The inverse partial autocorrelation function of a time series and its applications. J. Mult. Anal., 13, pp. 310-327. | MR | Zbl

Bhansali, R.J., Downham, D.Y. (1977) Some properties of the order of an autoregressive model selected by a generalization of Akaike's FPE criterion. Biometrika, 64, pp. 547-551. | MR | Zbl

Box, G.P.E., Jenkins, G.M. (1970) Time Series Analysis, Forecasting and Control. San Francisco : Holden Day. | MR | Zbl

Chaverie, P., Szpiro, D., Topol, R. (1990) Identification de modèle à fonction de transfert : la méthode Padé transformée en z. Ann. d'Economie et Statistique, 17, pp.145-161.

Chatfield, C. (1979) Inverse autocorrélations. J. Roy. Statist. Soc., A, 142, 3, pp. 363-377. | MR | Zbl

Cleveland, W.S. (1972) The inverse autocorrelations of a time series and their application. Technometrics, 14, pp. 277-293. | Zbl

Chow, J.C. (1972) On estimating the order of an autoregressive moving average process with uncertain observation. IEEE Trans. Automat. Control, AC-17, pp. 707-709.

De Gooijer, J.G., Abraham, B., Gould, A., Robinson, L. (1985) Methods for determining the order of an autoregressive moving average process : a survey. Inst. Stat. Rev., 53, 3, pp. 301-329. | MR | Zbl

Findley, D.F. (1985) On the unbiasedness property of AIC for exact or approximating linear stochastic time series models. J. Time Series Anal., §, pp. 229-252. | MR | Zbl

Franke, J. (1985) A Levinson-Durbin recursion for autoregressive moving average process. Biometrika, 72, pp. 573-581. | MR | Zbl

Franke, J., Gasser, Th., Steinberg, H. (1985) Fitting autoregressive processes to EEG time series : an empirical comparison of estimates of the order. IEEE Trans., ASSP-33, pp. 1115-1193.

Glasbey, C.A. (1982) A generalization of partial autocorrelation useful in identification of ARMA models. Technometrics, 24, pp. 223-228.

Graupe, D., Krause, D.J., Moore, J.B. (1975) Identification of autoregressive moving average parametrers of time series. IEEE Trans. Automat. Control, AC-20, pp. 104-107. | Zbl

Gray, H.L., Kelley, G.D., Mcintyre, D.D. (1978) A new approach to ARMA modelling. Comm. Statist. Simul. Comp., B7, pp. 1-77. | MR | Zbl

Gray, H.L., Houston, A.G., Morgan, F.W. (1978) On G-spectral estimation. Applied Time Séries Analysis, pp. 39-138, D.F. Findley ed. New York : Academic Press. | MR | Zbl

Hannan, E.J. (1980) The estimation of the order of an ARMA process, Ann. Statist., 8, pp. 1071-1081. | MR | Zbl

Hannan, E.J. (1982) Testing for autocorrelation and Akaike's criterion. Essays in Statistical Science. Papers in Honnor of P.A. Moran, Appl. Prob. Trust, pp. 403-412. | MR | Zbl

Hannan, E.J. (1987) Rational transfer function approximation (with comments). Statistical Science, 2, pp. 135-161. | MR | Zbl

Hannan, E.J., Deistler, M. (1988) The statistical theory of linear system. New York : Wiley. | MR | Zbl

Hannan, E.J., Kavalieris, L. (1984) A method for autoregressive moving average estimation. Biometrika, 71, 2, pp. 273-280. | MR | Zbl

Hannan, E.J., Kavalieris, L. (1984) Multivariate linear time series models. Adv. Appl. Prob., 16, pp. 492-561. | MR | Zbl

Hannan, E.J., Kavalieris, L., Mackinsack, M. (1986) Recursive estimation of linear systems. Biometrika, 73, pp. 119-134. | MR | Zbl

Hannan, E.J., Quinn, B.G. (1979) The determination of the order of an autoregression, J. Roy. Statist. Soc, B, 41, pp. 190-195. | MR | Zbl

Hannan, E.J., Rissanen, J. (1982) Recursive estimation of mixed autoregressive moving average order. Biometrika, 69, pp. 81-94. | MR | Zbl

Jones, R.H. (1975) Fitting autoregressions. J. Amer. Statist. Assoc, 70, pp. 590-592. | Zbl

Mareschal, B., Mélard, G. (1988) The corner method for identifying autoregressive moving average model. Appl. Statist., 37, pp. 301-316.

Mcclave, J.T. (1978) Estimating the order of autoregressive model, the max X2 method. J. Amer. Statist. Ass., 73, pp. 122-128. | Zbl

Pham, D.T. (1983) A survey of time series analysis through parametric models. Math. Operationsforchung. Statistik, series Statistics, 14,4, pp. 603-631. | MR | Zbl

Pham, D.T. (1984) A note on some statistics useful in identifying the order of autoregressive moving average model. J. Time Series Anal., 5, pp. 273-279. | MR | Zbl

Pham, D.T. (1986) Parameter estimation and order selection for autoregressive moving average models. Rapport Recherche n° 614 M, Laboratoire TIM3, Institut IMAG, Grenoble.

Pham, D.T. (1988) Estimation of autoregressive parameters and order selection for ARMA models. J. Time Series Anal., 9, 3, pp. 265-269. | MR | Zbl

Parzen, E. (1974) Some recent advances in time series modelling. IEEE Trans. Automatic Control, AC-19, pp. 723-729. | MR | Zbl

Parzen, E. (1977) Multiple time series modelling : determining the order of approximating autoregressive schemes. Multivariate Analysis, IV, pp. 283-295, ed. Krishnaiah. Amsterdam : North-Holland. | MR | Zbl

Pötscher, B.M. (1983) Order estimation in ARMA models by Lagrangian multiplier tests. Annal. Statits., 11, pp. 872-885. | MR | Zbl

Rissanen, J. (1978) Modelling by shortest data description. Automatica, 14, pp. 465-471. | Zbl

Rissanen, J. (1983) A universal prior for integer and estimation by minimum description length. Ann. Statist., 11, pp. 416-431. | MR | Zbl

Rissanen, J. (1986) Stochastic complexity and modelling. Ann. Statist., 14, pp. 1080-1100. | MR | Zbl

Rissanen, J. (1987) Stochastic complexity (with discussion). J. Roy. Statist., B 49, pp. 223-239. | MR | Zbl

Schwarz, G. (1978) Estimating the dimension of a model. Ann. Statist., 6, pp. 461-464. | MR | Zbl

Shibata, R. (1976) Selection of the order of autoregressive model by Akaike's information criterion. Biometrika, 63, pp. 117-126. | MR | Zbl

Shibata, R. (1980) Asymptotically efficient selection of the order of the for estimation parameters of a linear process. Ann. Statist., 8, pp. 147-244. | MR | Zbl

Shibata, R. (1981) An optimal autoregressive spectral estimate. Ann. Statist., 9, pp. 300-306. | MR | Zbl

Shibata, R. (1985) Various models selections techniques in time series analysis. Handbook of Statistics, 5, pp. 179-187. EJ. Hannan, P.R. Krishnaiah et M.M. Rao eds. Amsterdam : North-Holland. | MR

Tsay, R.S., Tiao, G.C. (1984) Consistent estimate of autoregressive parameters and extended sample autocorrelation function for stationary and non stationary ARMA models. J. Amer. Statist. Ass, 79, pp. 84-86. | MR | Zbl

Shanks, D. (1955) Nonlinear transformation of divergent or slowly convergent series. J. Math. Phys., 34, pp. 1-42. | MR | Zbl

Shimzu, R. (1978) Entropy maximization principle and selection of the order of an autoregressive gaussian process. Ann. Inst. Statist. Math., 30A, pp. 263-270. | MR | Zbl

Taniquichi, M. (1980) On selection of the spectral density model for a stationary process. Ann. Inst. Statist. Math., 32A, pp. 401-419. | Zbl

Veres, S. (1987) Asymptotic distribution of likelihood ratio for averparametrised ARMA process. J. Time Series Anal., 8, 3, pp. 145-157. | MR | Zbl

Woodside, C.M. (1971) Estimation of the order of linear systems. Automatica, 7, pp. 727-733. | Zbl

Woodward, W.A., Gray, H.L. (1981) On the relationship between the S array and the Box-Jenkins methods of ARMA model identification. J. Amer. Statist. Assoc, 76, pp. 579-587. | MR | Zbl

Wallace, C.S., Freeman, P.R. (1987) Estimation and inference by compact coding (with discussion). J. Roy. Statist. Soc, B 49, pp. 240-265. | MR | Zbl

Wynn, P. (1956) On a device to compute the em (Sm) transformation. Math. Tables and Aids to Corn., 10, pp. 91-96. | MR | Zbl