Du bon usage de R/S
Hernad, D. ; Mouillard, M. ; Strauss-Kahn, D.
Revue de Statistique Appliquée, Tome 26 (1978), p. 61-79 / Harvested from Numdam
Publié le : 1978-01-01
@article{RSA_1978__26_4_61_0,
     author = {Hernad, D. and Mouillard, M. and Strauss-Kahn, D.},
     title = {Du bon usage de R/S},
     journal = {Revue de Statistique Appliqu\'ee},
     volume = {26},
     year = {1978},
     pages = {61-79},
     language = {fr},
     url = {http://dml.mathdoc.fr/item/RSA_1978__26_4_61_0}
}
Hernad, D.; Mouillard, M.; Strauss-Kahn, D. Du bon usage de R/S. Revue de Statistique Appliquée, Tome 26 (1978) pp. 61-79. http://gdmltest.u-ga.fr/item/RSA_1978__26_4_61_0/

[ 1] Adelman I. - "Long cycles : facts or artefacts ?". AER LV, juin 1965, pp. 444-463.

[ 2] Fama E.F. - "Mandelbrot and the stable paretien hypothesis ". Journal of Business, XXXVI, octobre 1963, pp. 430-429.

[ 3] Fama E.F. et Roll R. - "Some properties of symetric stable paretien distribution". Journal of the American Statistical Association, LXIII, 1968, pp. 817-836. | MR 233452

[ 4] Fama E.F. et Roll R. - "Paremeter of Symetric Stable Distribution ". Journal of the American Statistical Association, LXVI, 1971, pp. 331-338. | Zbl 0217.51404

[ 5] Fielitz B.D. et Smith E.W. - "Asymetric Stable Distribution of Stock Price Changes". Journal of the American Statistical Association, LXVII, pp. 813-814.

[ 6] Gnedenko B.V. et Kolmogoroff A.N. - "Limit Distributions for Sums of Independent Random Variables", 1964, (traduit en anglais par K.L. CHUNG). | Zbl 0056.36001

[ 7] Granger C.W. - "The typical spectral shape of an economic variable". Econometrica, XXXIV (janvier 1966), pp. 150 -161.

[ 8] Granger C.W. et Orr D. - "Infinite variance and research strategy in time series analysis". Journal of the American Statistic Association, LXVII, juin 1972, pp. 275- 285. | Zbl 0237.62056

[ 9] Granger C.W. - "New technics for analysing economic time series and their places in econometrics" in Essays in honor of O. MORGENSTERN Princ. Univ. Press, 1967.

[10] Granger C.W. et Morgenstern O. - "Predictability of stock market prices ". Heath - Lexington Books, 1970.

[11] Hernad D. et Mouillart M. - "Analyse spectrale des chroniques boursières : la théorie des promenades aléatoires". Mémoire de DES, novembre 1975, Univ. de Parix X Nanterre.

[12] Levy P. - "Processus stochastiques et mouvements browniens". Gauthier-Villars, Paris, 1965.

[13] Mandelbrot B. - "New Methods in Statistical Economics". Journal of Political Economy, LXXI (octobre 1963), pp. 421-440 Reproduit dans Bulletin de l'institut International de Statistique, session d'Ottawa, XL. | Zbl 0121.15105

[14] Mandelbrot B. - "Long run linearity, locally gaussian process, H-Spectra and finite variance". International Economic Review, X, février 1969, pp. 82-111. | Zbl 0191.51002

[15] Mandelbrot B. - "A Fast Fractional Gaussian Noise Generator ", Water Resources Research, VII (juin 1971), pp. 543-553.

[16] Mandelbrot B. - "Statistical Methodology for Non-Periodic Cycles : from the covariance to R/S Analysis". Annals of Economic and Social Measurement, I (juillet 1972), pp. 259-290.

[17] Mandelbrot B. - "Le syndrome de la variance infinie et ses rapports avec la discontinuité des prix". E.A., XXVI (1973), pp. 321-348.

[18] Mandelbrot B. - "Le Problème de la Réalité des Cycles lents et le Syndrome de Joseph", Economie Appliquée, XXVI (1973), pp. 349-365.

[19] Mandelbrot B. et Van Ness J.W. - "Fractional Brownian motions, fractional noises and applications". SIAM Review, X octobre 1968, pp. 422-437. | MR 242239 | Zbl 0179.47801

[20] Mandelbrot B. et Wallis J.R. - "Noah, Joseph and operational hydology ", Water Resources Research, IV (octobre 1968), pp. 909 -918.

[21 ] Mandelbrot B. et Wallis J.R. - "Computer experiments with fractional gaussian noises". Water Resources Research, V (février 1969), pp. 228-267.

[22] Mandelbrot B. Wallis J.R. - "Some long run properties of geophisical records", Water Resources Research, V (avril 1969), pp. 321-340.

[23] Mandelbrot B. et Wallis J.R. - "Robustness of the Rescaled Range and the Measurement of Long-Run Statistical Dependence", Water Resources Research, V (octobre 1969), pp. 967- 988.

[24] Mandelbrot B. et Wallis J.R. - "Operational Hydrology Using Self Similar Processes", in John LAWRENCE, ed., Proceedings of the Fifth International Conference on Operations Research (Venise, 1969, (London: Tavistock Press).

[25] Moran P.A.P. (1964). - "On the range of cumulative sums". Annals of the Institute of Statistical Mathematics (Tokyo), XVI (1964), p. 109. | MR 173305 | Zbl 0146.39004

[26] Slutzky E. - "The summation of randon causes as the source of cyclic process". Econometrica, avril 1937, pp. 105-146. | JFM 63.1131.03

[27] Taqqu M. - "Note on Evaluation of R/S for Fractional Noises and Geophysical Records". Water Resources Research, VI (1970), p. 349.

[28] Zajdenweber D. - "Hasard et prévision". Economica, 1976.