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  • About
  • The Global ETD Search service is a free service for researchers to find electronic theses and dissertations. This service is provided by the Networked Digital Library of Theses and Dissertations.
    Our metadata is collected from universities around the world. If you manage a university/consortium/country archive and want to be added, details can be found on the NDLTD website.

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Inférences dans les modèles ARCH : tests localement asymptotiquement optimaux / Inference in ARCH models : asymptotically optimal local tests

Lounis, Tewfik 16 November 2015 (has links)
L'objectif de cette thèse est la construction des tests localement et asymptotiquement optimaux. Le problème traité concerne un modèle qui contient une large classe de modèles de séries chronologiques. La propriété de la normalité asymptotique locale (LAN) est l'outil fondamental utilisé dans nos travaux de recherches. Une application de nos travaux en finance est proposée / The purpose of this phD thesis is the construction of alocally asymptotically optimal tests. In this testing problem, the considered model contains a large class of time series models. LAN property was the fundamental tools in our research works. Our results are applied in financial area
Contiguïté
Modèles ARCH
Normalité asymptotique locale (LAN)
Optimalité
Suites centrales
Statistique de Neyman-Pearson
Troisième Lemme de Le Cam
Tests
Autoregressif models
ARCH models
Contiguity
Discrete estimates
Le Cam third Lemma
Optimality
Statistics of Neyman-Pearson
Tests
519.56
330.015 195

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