Search results for "Espace état"

showing 2 items of 2 documents

La décomposition canonique et la cointégration

1994

This paper has introduced state space models for cointegrated time series. In doing so, the notion of cointegration is slightly generalized. We develop the notion of dynamic aggregation link with error correction model and common trends.

MathématiquesError correction modelCommon trendStatistics[ MATH.MATH-ST ] Mathematics [math]/Statistics [math.ST]Intégration dynamiqueOperations researchDynamic aggregationState space[MATH.MATH-ST] Mathematics [math]/Statistics [math.ST]MathematicsEspace état
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Théorie de système et séries temporelles

1994

The aim of this paper is to present a different representation of state space models, (innovation state space representation) which is relatively new and apparently unknown in the economics and econometrics literature and to describe some of its properties. state space representation is a very flexible form for time series and the approach taken in this paper therefore allows a broad class of models it does not impose a priori the decomposition of data series into trend and cycle

[ MATH ] Mathematics [math]mathématiques séries temporelles innovation espace état stabilité stochastiqueséries temporellesstability stochasticmathematicsstate space[MATH] Mathematics [math]innovationmathématiquesstabilité stochastiquestatisticsespace étattime serieoperations research
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