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Tests non paramétriques optimaux pour une autorégression d'ordre un

Listed author(s):
  • Marc Hallin
  • Jean-Marie Dufour

Ce Texte Developpe des Methodes D'inference Non Parametriques Pour le Processus Autoregressif D'ordre Un. le Probleme Etudie Est de Tester N'importe Quelle Hypothese Affirmant Que le Coefficient D'autocorrelation (...) a une Valeur Donnee (...) Ou (...) Est une Valeur Admissible Arbitraire (...). Nous Considerons la Famille des Tests Bases Sur les Autocorrelations de Rangs du Modele Transforme Sour (...). Ces Tests Sont Applicables (...) Sous la Simple Condition Que les Innovations de Processus Sont I.I.D. Continues. Dans la Classe Consideree, Nous Derivons des Tests Asymptotiquement Optimaux de (...) Pour des Contre Hypotheses Locales, Unilaterales Ou Bilaterales. Nous Donnons la Distribution Asymptotique des Tests Sous L'hypothese Nulle Ainsi Que Pour des Suites D'hypotheses Contigues, et Calculons Leur Efficacite Asymptotique Relative Par Rapport a Plusieurs Procedures Disponibles (Parametriques et Non Parametriques) Pour Tester les Memes Hypotheses. la Possibilite de Rendre les Tests Exacts Par Enumeration Ou Simulation Est Aussi Examinee.

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Paper provided by ULB -- Universite Libre de Bruxelles in its series ULB Institutional Repository with number 2013/2011.

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Date of creation: 1987
Publication status: Published in: France. Institut National de la Statistique et des Etudes Economiques. Annales d'Economie et de Statistique (1987) v.6-7,p.411-434
Handle: RePEc:ulb:ulbeco:2013/2011
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