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Distribution-Free Bounds for Serial Correlation Coefficients in Heteroskedastic Symmetric Time Series
Dufour, Jean-Marie; Farhat, Abdeljelil; Hallin, Marc - Centre Interuniversitaire de Recherche en Analyse des … - 2005
coefficients d'autocorrélation : bornes exponen-tielles, bornes de type Eaton, bornes de Chebyshev et bornes de Berry … la performance des bornes et comparons celle-ci à celle de tests d'autocorrélation traditionnels. Les procédures …
Persistent link: https://www.econbiz.de/10005100838
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Markovian Processes, Two-Sided Autoregressions and Finite-Sample Inference for Stationary and Nonstationary Autoregressive Processes
Dufour, Jean-Marie; Torrès, Olivier - Centre Interuniversitaire de Recherche en Analyse des … - 2000
In this paper, we develop finite-sample inference procedures for stationary and nonstationary autoregressive (AR) models. The method is based on special properties of Markov processes and a split-sample technique. The results on Markovian processes (intercalary independence and truncation) only...
Persistent link: https://www.econbiz.de/10005100872