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L'adequation du processus multivariable gaussien continu stationnaire centre de densite spectrale rationnelle

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Part of the Lecture Notes in Mathematics book series (LNM,volume 636)

Résumé

Une méthode d'adéquation du processus multivariable Gaussien continu est proposée quand on a pour seule information le fait que sa densité spectrale est rationnelle. L'utilisation d'une classe spéciale de représentations Markoviennes permet de spécifier le processus observé à l'aide d'un ensemble de paramètres non redondants. L'estimation de ces paramètres est basée sur une fonction de vraisemblance approchée, qui fournit des estimateurs asymptotiquement normaux et efficaces.

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Références

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© 1978 Springer-Verlag

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Tuan, P.D. (1978). L'adequation du processus multivariable gaussien continu stationnaire centre de densite spectrale rationnelle. In: Dacunha-Castelle, D., Van Cutsem, B. (eds) Journées de Statistique des Processus Stochastiques. Lecture Notes in Mathematics, vol 636. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0063263

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  • DOI: https://doi.org/10.1007/BFb0063263

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  • Publisher Name: Springer, Berlin, Heidelberg

  • Print ISBN: 978-3-540-08658-1

  • Online ISBN: 978-3-540-35925-8

  • eBook Packages: Springer Book Archive