Sélection de méthodes par le critère de l'erreur quadratique moyenne de prédiction
Revue de Statistique Appliquée, Volume 44 (1996) no. 3, p. 27-45
@article{RSA_1996__44_3_27_0,
     author = {Doucour\'e, F. B.},
     title = {S\'election de m\'ethodes par le crit\`ere de l'erreur quadratique moyenne de pr\'ediction},
     journal = {Revue de Statistique Appliqu\'ee},
     publisher = {Soci\'et\'e de Statistique de France},
     volume = {44},
     number = {3},
     year = {1996},
     pages = {27-45},
     language = {fr},
     url = {http://www.numdam.org/item/RSA_1996__44_3_27_0}
}
Doucouré, F. B. Sélection de méthodes par le critère de l'erreur quadratique moyenne de prédiction. Revue de Statistique Appliquée, Volume 44 (1996) no. 3, pp. 27-45. http://www.numdam.org/item/RSA_1996__44_3_27_0/

Bosq D. et Lecoutre J.P., (1992). «Analyse et prévision des séries chronologiques », Masson.

Box G.E.P. and Jenkins G.M., (1970). «Time Series Analysis : Forecasting and Control », Holden-Day. | MR 272138 | Zbl 0249.62009

Brockwell P.J. and Davis R.A., (1991). «Time Series : Theory and Methods», 2nd Edn, New York: Springer-Verlag. | MR 1093459

Brown R., (1962). «Smoothing, forecasting and prediction», Prentice Hall. | Zbl 0192.25606

Carbon M. et Delecroix M., (1993). «Non-parametric vs parametric forecasting in time series : a computational point of view», Applied Stochastic Models and Data Analysis, Vol. 9, pp 215, 229. | MR 1254519 | Zbl 0800.62563

Cogger K., (1974). «The optimality of general order exponential smoothing », Operational Research, Vol. 22, pp 858, 867. | MR 438623 | Zbl 0284.62063

Cox D., (1961). «Prediction by exponentially weighted moving average and related methods», J.R.S.S. B, Vol. 23, pp 414, 422. | MR 137160 | Zbl 0133.42208

Engle R.F., (1982). « Autoregressive conditional heteroskedasticity with estimates of the variance of United Kingdom inflation», Econometrica 50, pp 987, 1007. | MR 666121 | Zbl 0491.62099

Geurts M.D. and Ibrahim I.B., (1975). «Comparing the Box Jenkins Approach with the exponentially Smoothed Forecasting Model : Application to Hawaii Tourists », Journal of Marketing Research, Vol. 12, pp 182, 188.

Granger C.W.J. and Anderson A.P., (1978). «An introduction to bilinear time series analysis », Vandenhoeck and Rupecht Gottingen.

Granger C.W.J. and Joyeux R., (1980). « An introduction to long-memory time series models and fractional differencing», J.T.S.A, Vol. 1, pp 15, 29. | MR 605572 | Zbl 0503.62079

Groff G.K., (1973). « Empirical Comparisons of Models for Short-Range Forecasting », Management Science, Vol. 20, pp 22, 31. | Zbl 0313.62065

Gross D. and Ray J.L., (1965). «A general purpose forecasting simulator», Management Science, Vol. 11, pp 119, 135.

Guégan D., (1981). «Etude d'un modèle non linéaire, le modèle superdiagonal d'ordre 1 », CRAS, Série A, t293, pp 95, 98. | MR 633572 | Zbl 0476.60038

Guégan D., (1992). «On the identification and prediction of non linear models», Proceedings for the Workshop on "New Directions in time series analysis". Minneapolis. July 90, Springer Verlag. | Zbl 0768.62084

Hoskins J.R.M., (1981). «Fractional differencing», Biometrika, Vol. 68, 1, pp 165, 176. | MR 614953 | Zbl 0464.62088

Kirby R.M., (1966). « A comparison of short and medium range statistical forecasting methods», Management Science, Vol. 4, pp 202, 210.

Krampf R.F., (1972). «The turning point problem in smoothing models », Unpublished Ph. D. Dissertation, University of Cincinnati.

Levine A.H., (1967). «Forecasting Techniques», Management Accounting.

Mabert A., (1975). «An introduction to short term forecasting using the Box Jenkins methodology», American Institute of Industrial Engineers, Atlanta.

Makridakis S. and Hibon M., (1979). «Accuracy of forecasting : an empirical investigation », J. R. S. S. A, Vol. 142, pp 97, 145.

Makridakis S. et al, (1984). «The Forecasting Accuracy of Major Time Series Methods», Wiley, Chichester.

Milhoj A., (1985). « The Moment Structure of ARCH process », Scand. J. Statist, Vol. 12, pp 281, 292. | MR 841449 | Zbl 0595.62089

Muth J.F., (1960). «Optimal properties of exponentially weighted forecasts», J.A.S.A, Vol. 55, pp 299, 306. | Zbl 0100.14602

Newbold P. and Granger C.W.J., (1974). « Experience with forecasting univariate time series and the combination of forecasts », J. R. S. S. A, 137, Part 2, pp 131, 165. | MR 451583

Nicholls D.F. and Quinn B.G., (1982). «Random coefficient autoregressive models. An introduction», Lectures Notes in Statistics. II. Springer Verlag. | MR 671255 | Zbl 0497.62081

Pham T.D., (1985). «Bilinear Markovian representation and bilinear models», Stoch. Processes and their app, Vol 12, pp 295- 306. | MR 808163 | Zbl 0588.62162

Pham T.D. and Tran L.T., (1981). «On the first order bilinear time series models », J. Appl. Prob, pp 617-627. | MR 621225 | Zbl 0466.62082

Raine J.E., (1971). « Self-Adaptative Forecasting Considered«, Decision Science.

Ray D., (1983). «On the autoregressive model with random coefficients », Calcutta Statist. Ass. Bull, 32, pp 135, 142. | MR 772440 | Zbl 0546.62063

Reid D.J., (1971). «Forecasting in Action : A Comparison of Forecasting Techniques In Economic Time Series», Proceedings of the Joint Conference of the Operations Research Society, Long-Range Planning and Forecasting.

Sesay S.A.O. and Subba Rao T., (1988). «Yule Walker difference equation for higher order moments and cumulants for bilinear time series models», J.T.S.A, Vol 9, pp 85-401. | Zbl 0668.62065

Weiss A.A., (1984). «ARMA models with ARCH errors», J.T.S.A, Vol. 3, pp 129, 143. | Zbl 0549.62079