no. 4
Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992
Journal de la Société de statistique de Paris, Tome 135 (1994) no. 4, pp. 25-46 
@article{JSFS_1994__135_4_25_0,
     author = {Kouassi, Eug\`ene and Terraza, Michel},
     title = {Mod\'elisation par le filtre de {Kalman} de la chronique mensuelle du prix du gas-oil en {France} de 1960 \`a 1992},
     journal = {Journal de la Soci\'et\'e de statistique de Paris},
     pages = {25--46},
     year = {1994},
     publisher = {Soci\'et\'e de statistique de Paris},
     volume = {135},
     number = {4},
     language = {fr},
     url = {https://www.numdam.org/item/JSFS_1994__135_4_25_0/}
}
TY  - JOUR
AU  - Kouassi, Eugène
AU  - Terraza, Michel
TI  - Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992
JO  - Journal de la Société de statistique de Paris
PY  - 1994
SP  - 25
EP  - 46
VL  - 135
IS  - 4
PB  - Société de statistique de Paris
UR  - https://www.numdam.org/item/JSFS_1994__135_4_25_0/
LA  - fr
ID  - JSFS_1994__135_4_25_0
ER  - 
%0 Journal Article
%A Kouassi, Eugène
%A Terraza, Michel
%T Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992
%J Journal de la Société de statistique de Paris
%D 1994
%P 25-46
%V 135
%N 4
%I Société de statistique de Paris
%U https://www.numdam.org/item/JSFS_1994__135_4_25_0/
%G fr
%F JSFS_1994__135_4_25_0
Kouassi, Eugène; Terraza, Michel. Modélisation par le filtre de Kalman de la chronique mensuelle du prix du gas-oil en France de 1960 à 1992. Journal de la Société de statistique de Paris, Tome 135 (1994) no. 4, pp. 25-46. https://www.numdam.org/item/JSFS_1994__135_4_25_0/

Ansley C.F. and Kohn R. (1985) " Estimation, Filtering and Smoothing in State Space Models with Incompletely Specified Initial Conditions", Annals of Statist., 1286-1316. | Zbl | MR

Ansley C.F. and Kohn R. (1989) " Filtering and Smoothing in State Models with Partially Diffuse Initial Conditions", J. of Time Series Anal., 275-293. | Zbl | MR

Ansley C.F. and Newbold P. (1980) " Finite Sample Properties of Estimation for ARMA Processes", J. of Econometrics, 159-183. | Zbl

Aoki M. (1991) " A State Space Time Series Modelling Method without Individual Detrending", J. of Time Series Anal., 1-26. | Zbl | MR

Bell W. and Hlllmer S. (1991) " Initializing the Kalman Filter for Non-Stationary Time Series Models", J. of Time Series Anal., 283-300. | Zbl

Boyles R.A. (1983) " On the Convergence of the EM Algorithm", JRSS, B, vol. 45, 47-50. | Zbl | MR

Burmeister E., Wall K.D. and Hamilton J.D. (1986) " Estimation of Unobserved Espected Monthly Inflation using Kalman Filtering", J. of Bus. and Eco. Statist., 147-160.

Caines P.E. (1988) Linear Stochastic Filtering, New York, J. Wiley. | MR

David S.T. and Wall K.D. (1991) " Bootstrapping State Space Models : Gaussian Maximum Likehood Estimation and Kalman Filter", JASA, 1024-1033. | Zbl | MR

De Jong P. (1988) " The Likehood for a State Space Model", Biometrika, 165-169. | Zbl | MR

De Jong P. (1988) " Stable Algorithms for the State Space Model", J. of Time Series Anal., 143-157. | Zbl | MR

Edwards C.L. and Howrey E.P. (1991) " A "True" Time Series and its Indicators: an Alternative Approach", JASA, 878-882.

Granger C.W.J. (1980) " Long Memory Relationships and the Aggregation of Dynamic Models", J. of Econometrics, 227-238. | Zbl | MR

Granger C.W.J. and Hallman J. (1991) " Long Memory Series with Attractors", Oxford Bull. of Eco. and Statist., 11-26.

Granger C.W.J. and Joyeux R. (1980) " An Introduction to Long-Memory Time Series Models ans Fractional Differencing", J. of Time Series Anal., 15-29. | Zbl | MR

Goodwin G.C. and Sln K.S. (1984) Adapting Filtering, Prediction and Control, Englewood, Cliffs NJ: Prentice-Hall. | Zbl

Harvey A.C. (1982) Estimation Procedures for a Class of Univariate Time Series Models, LSE Econometrics, Program Discussion Paper, n° A 28.

Harvey A.C. ( 1981a) Time Series Models, Oxford, Philipp Allan and Atlantic Highlands, NJ: Humanities Press. | Zbl | MR

Harvey A.C. ( 1981b) " Finite Sample Prediction and Overdifferencing", J. of Time Series Anal., 221-232. | MR

Harvey A.C. and Peters S. (1990) " Estimation Procedures for structural Time Series Models", J. of Forecasting, 89-108.

Harvey A.C. and Pierce R.G. (1984) " Estimation Missing Observations in Economic Time Series", JASA, 125-131.

Hosking J.R.M. (1981) " Fractional Differencing", Biometrika, 165-176. | Zbl | MR

Jones R.H. (1980) " Maximum Likehood Fitting of ARMA Models to Time Series with Missing Observation", Technometrics, 389-395. | Zbl | MR

Kalman R.E. (1960) " A New Approach to Linear Filtering and Prediction Problem", Trans. of the American Soc. of Mechanical Engineers, Series D 82, 35-45.

Kalman R.E. (1987) " Non-Gaussian State Space Modeling of Non-Stationary Time Series", JASA, 1032-1041. | Zbl

Kalman R.E. and Bucy R.S. (1961) " New Results in Linear Filtering and Prediction", Trans. of the American Soc. of Mechanical Engineers, Series D 82, 95-106. | MR

Kohn R. and Ansley C.F. (1989) " A Fast Algorithm for Signal Extraction, Influence and Cross-validation in State Space Models", Biometrika, 65-79. | Zbl | MR

Lawrance A. and Kottega N.T. (1977) " Stochastic Modelling of Riverflow Time Series", JRSS, A 140, 1-47.

Ledolter J. and Kahl D.R. (1982) " An Empirical Evaluation of Adaptative Filtering", Proceedings of American Institute for Decisions Sciences, San Francisco, 342-344.

Ljung L. and Söderström T. (1983) Theory and Practice of Recursive Identification, The MIT Press, A.S. Willskry ed. | Zbl | MR

Marshall P. (1992) " State Space Models with Diffuse Initial Conditions", J. of Time Series Anal., 411-414. | Zbl | MR

Mehra R.K. (1979) " Kalman Filters and their Applications to Forecasting", TIMS Studies in the Management Sciences, 12, 75-94. | Zbl

Morris N.D. and Pfeffermann D. (1984) " A Kalman Filter Approach to the Forecasting of Monthly Time Series Affected to Monving Festivals", J. of Time Series Anal., 255-268.

Pagan A. (1980) " Some Identification and Estimation Results for Regression Models with Stochastically Varying Coefficients", J. of Econometrics, 341-363. | Zbl | MR

Roïtenberg I.N. (1974) Théorie du Contrôle Automatique, Ed. Mir, Moscou, 1974. | Zbl

Rosenberg B. (1973) " Random Coefficient Models: The Analysis of a Cross Section Time Series by Stochastically Convergent Parameters Regression", Annals of Econometric and Social Measurement, 799-820.

Schweppe F. (1965) " Evaluation of Likehood Functions for Gaussian Signals", JEEE Trans. on Inf. Theory, 61-70. | Zbl | MR

Shumway R.H., Olsen D.E. and Levy L.J. (1981) " Estimation and Tests of Hypotheses for the Initial Mean and Covariance in the Kalman Filter Model", Communications in Statistics Theory and Methods,, 1625-41. | Zbl | MR

Slngh A.C. and Roberts G.R. (1992) " State Space Modelling of Cros-classified Time Series of Counts", Inter. Statist. Rev., 60, 321-335. | Zbl

Smith J.Q. (1990) " Non-Linear State Space Models with Partially Specified Distributions on States", J. of Forecasting, 137-150.

Stoffer D.S. and Wall K.D. (1991) " Bootstrapping State Space Models: Gaussian Maximum Likehood Estimation and the Kalman Filter", JASA, 1021-1033. | Zbl | MR

Sullivan P.J. (1992) " Kalman Filter Approach to Catch-at-Length Analysis", Biometrics, 237-257. | Zbl

Wecker W.E. and Ansley Cf. (1983) " The Signal Extraction Approach to Non-linear Regression and Spline Smoothing", JASA, 81-89. | Zbl

Young P.C. and Ng C.N. (1990) " Recursive Estimation and Forecasting of Non-stationary Time Series", J. of Forecasting, 173-204.