{"id":70,"date":"2023-06-21T12:14:35","date_gmt":"2023-06-21T12:14:35","guid":{"rendered":"http:\/\/193.194.89.179\/wp_lrecits\/?page_id=70"},"modified":"2025-01-09T09:54:37","modified_gmt":"2025-01-09T09:54:37","slug":"series-temporelles-econometrie-et-probabilites","status":"publish","type":"page","link":"https:\/\/lrecits.usthb.dz\/index.php\/series-temporelles-econometrie-et-probabilites\/","title":{"rendered":"S\u00e9ries Temporelles, Econom\u00e9trie et Probabilit\u00e9s (STEP)"},"content":{"rendered":"\n<figure class=\"wp-block-table\"><table class=\"has-background\" style=\"background:linear-gradient(89deg,rgb(74,234,220) 0%,rgb(151,120,209) 20%,rgb(207,42,186) 40%,rgb(238,44,130) 60%,rgb(251,105,98) 80%,rgb(254,248,76) 100%)\"><tbody><tr><td>Equipe :<\/td><td> S\u00e9ries Temporelles, Econom\u00e9trie et Probabilit\u00e9s <img loading=\"lazy\" decoding=\"async\" width=\"120\" height=\"99\" class=\"wp-image-174\" style=\"width: 120px;\" src=\"https:\/\/lrecits.usthb.dz\/wp-content\/uploads\/2024\/03\/Logo-STEP00.png\" alt=\"\" srcset=\"https:\/\/lrecits.usthb.dz\/wp-content\/uploads\/2024\/03\/Logo-STEP00.png 465w, https:\/\/lrecits.usthb.dz\/wp-content\/uploads\/2024\/03\/Logo-STEP00-300x248.png 300w\" sizes=\"auto, (max-width: 120px) 100vw, 120px\" \/><\/td><\/tr><tr><td>Responsable :<\/td><td>Pr. HAMDI Fay\u00e7al<\/td><\/tr><tr><td>Mail :<\/td><td>fhamdi@usthb.dz<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<h2 class=\"wp-block-heading\">Pr\u00e9sentation<\/h2>\n\n\n\n<p class=\"has-text-align-left\">La th\u00e9matique de l&#8217;\u00e9quipe se d\u00e9cline en deux volets. Le premier volet est consacr\u00e9 \u00e0 l&#8217;analyse alg\u00e9brique, probabiliste et statistique des mod\u00e8les de s\u00e9ries chronologiques, qu&#8217;ils soient lin\u00e9aires ou non-lin\u00e9aires, et ce, qu&#8217;ils pr\u00e9sentent des valeurs r\u00e9elles ou enti\u00e8res. Cette analyse englobe des concepts tels que la causalit\u00e9, l&#8217;invisibilit\u00e9, la p\u00e9riodicit\u00e9, l&#8217;autocorr\u00e9lation, l&#8217;existence des moments d&#8217;ordre sup\u00e9rieur, les probl\u00e8mes d&#8217;identification du mod\u00e8le, d&#8217;estimation des param\u00e8tres, ainsi que le calcul de la matrice d&#8217;information de Fisher. Tous ces aspects ont des implications pratiques en termes de pr\u00e9visions et de perspectives.<br>Le second volet se focalise sur la mod\u00e9lisation et l&#8217;analyse des donn\u00e9es \u00e9conomiques et financi\u00e8res en utilisant des mod\u00e8les \u00e9conom\u00e9triques temporels, spatiaux et spatiaux-temporels.<\/p>\n\n\n\n<h2 class=\"wp-block-heading\">Membres<\/h2>\n\n\n\n<div class=\"wp-block-group\"><div class=\"wp-block-group__inner-container is-layout-constrained wp-block-group-is-layout-constrained\">\n<figure class=\"wp-block-table is-style-stripes\"><table class=\"has-cool-to-warm-spectrum-gradient-background has-background\"><tbody><tr><td>HAMDI Fay\u00e7al<\/td><td>Doctorat, HDR, Professeur<\/td><\/tr><tr><td>ALIAT Billel<\/td><td>Doctorat, MCB<\/td><\/tr><tr><td>BOUSSAHA Nadia<\/td><td>Doctorat, MCB<\/td><\/tr><tr><td>HEMIS Rokia<\/td><td>Magister, MAA, Doctorante<\/td><\/tr><tr><td>KHALFI Abderraouf<\/td><td>Doctorat, MCB<\/td><\/tr><tr><td>SADOUN Mohamed Djem\u00e2a<\/td><td>Doctorat, MCB<\/td><\/tr><tr><td>BENAMEUR Imane<\/td><td>Master, Doctorante<\/td><\/tr><tr><td>LELLOU Chahrazed<\/td><td>Master, Doctorante<\/td><\/tr><tr><td>REHOUMA Imane<\/td><td>Master, Doctorante<\/td><\/tr><\/tbody><\/table><\/figure>\n<\/div><\/div>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<h2 class=\"wp-block-heading\">Objectif et Comp\u00e9tences<\/h2>\n\n\n\n<ul class=\"wp-block-list\">\n<li>Mod\u00e8les de s\u00e9ries chronologiques <\/li>\n\n\n\n<li>M\u00e9lange de mod\u00e8les de s\u00e9ries chronologiques<\/li>\n\n\n\n<li>Processus p\u00e9riodiquement corr\u00e9l\u00e9s<\/li>\n\n\n\n<li>M\u00e9thodes de Monte Carlo<\/li>\n\n\n\n<li>Pr\u00e9diction<\/li>\n\n\n\n<li>Mod\u00e8les de donn\u00e9es de panel<\/li>\n<\/ul>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<h2 class=\"wp-block-heading\">Projets de Recherche<\/h2>\n\n\n\n<p>L&#8217;\u00e9quipe participe aux projets scientifiques suivants :<\/p>\n\n\n\n<p>CNEPRU : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">N\u00b0<\/th><td>C00L03UN160420200016<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Econom\u00e9trie, Probabilit\u00e9s et Combinatoire<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>HAMDI Fay\u00e7al<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>CREAD : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">N\u00b0<\/th><td>Cread 09\/CS 04\/2019<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Le changement de r\u00e9gime dans les mod\u00e8les de s\u00e9ries temporelles \u00e0 valeurs enti\u00e8res (Cas d&#8217;application : Insertion professionnelle des dipl\u00f4m\u00e9s universitaires)<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>ALIAT Billel<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>CNEPRU : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">N\u00b0<\/th><td>C00L03UN160420150014<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>S\u00e9ries Temporelles, Econom\u00e9trie et Probabilit\u00e9s<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>HAMDI Fay\u00e7al<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>CNEPRU : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">N\u00b0<\/th><td>B00220120006<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Econom\u00e9trie, probabilit\u00e9s et combinatoire<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>HAMDI Fay\u00e7al<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>CNEPRU : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">N\u00b0<\/th><td>B00220110027<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Estimation non param\u00e9trique dans les mod\u00e8les de donn\u00e9es<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>SADKI Ourida<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>PNR : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">Agence<\/th><td>ATRST (ex ANDRU)<\/td><\/tr><tr><th scope=\"row\">N\u00b0<\/th><td>u160\/av43<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Analyse et pr\u00e9diction de s\u00e9ries chronologiques p\u00e9riodiques : application \u00e0 des donn\u00e9es industrielles et financi\u00e8res<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>GUERBYENNE Hafida<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<p>PNR : (achev\u00e9)<\/p>\n\n\n\n<figure class=\"wp-block-table is-style-stripes\"><table><tbody><tr><th scope=\"row\">Agence<\/th><td>ATRST (ex ANDRU)<\/td><\/tr><tr><th scope=\"row\">N\u00b0<\/th><td>u250\/738<\/td><\/tr><tr><th scope=\"row\">Intitul\u00e9<\/th><td>Inf\u00e9rence statistique dans les mod\u00e8les non lin\u00e9aires et non stationnaires &#8211; th\u00e9orie et applications<\/td><\/tr><tr><th scope=\"row\">Responsable<\/th><td>BIBI Abdelouahab<\/td><\/tr><\/tbody><\/table><\/figure>\n\n\n\n<hr class=\"wp-block-separator has-alpha-channel-opacity\"\/>\n\n\n\n<h2 class=\"wp-block-heading\">Production<\/h2>\n\n\n\n<p>La principale production scientifique de l&#8217;\u00e9quipe pour les ann\u00e9es 2013-2023 est :<\/p>\n\n\n\n<p><strong><u>Publications dans des revues :<\/u><\/strong><\/p>\n\n\n\n<blockquote class=\"wp-block-quote has-background is-layout-flow wp-block-quote-is-layout-flow\" style=\"background:linear-gradient(89deg,rgb(255,206,236) 57%,rgb(152,150,240) 100%)\">\n<ol class=\"wp-block-list\">\n<li>Boussaha, N., Hamdi, F. and Khalfi, A. (2023). On the asymmetry in the volatility of financial time series: A Buffered transition approach. Journal of Statistical Computation and Simulation. 93, 2471-2493. <a href=\"https:\/\/doi.org\/10.1080\/00949655.2023.2187800\">https:\/\/doi.org\/10.1080\/00949655.2023.2187800<\/a><\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. (2023). Efficient estimation in semiparametric self-exciting threshold INAR processes. Communications in Statistics-Simulation and Computation, 52(6), 2592-2614. <a href=\"https:\/\/doi.org\/10.1080\/03610918.2021.1910300\">https:\/\/doi.org\/10.1080\/03610918.2021.1910300<\/a><\/li>\n\n\n\n<li>Hamdi, F. and Khalfi A. (2022). Predictive Density Criterion for SETAR Models. Communications in Statistics &#8211; Simulation and computation, 51, 443-459.&nbsp;<a href=\"https:\/\/doi.org\/10.1080\/03610918.2019.1653915\">https:\/\/doi.org\/10.1080\/03610918.2019.1653915<\/a><\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. (2022). Efficient estimation in (PINAR (1)) model: semiparametric case. Communications in Statistics-Simulation and Computation, 51(12), 7110\u20137132. <a href=\"https:\/\/doi.org\/10.1080\/03610918.2020.1825735\">https:\/\/doi.org\/10.1080\/03610918.2020.1825735<\/a><\/li>\n\n\n\n<li>Sadoun, M. and Bentarzi, M. (2022). On periodic EGARCH models. Communications in Statistics-Simulation and Computation, 51(7), 3733\u20133759. <a href=\"https:\/\/doi.org\/10.1080\/03610918.2020.1722833\">https:\/\/doi.org\/10.1080\/03610918.2020.1722833<\/a><\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. (2021). Efficient estimation in periodic INARp model: Nonparametric innovation distributions case. Journal of Statistical Planning and Inference, 211, 340-361.&nbsp;<a href=\"https:\/\/doi.org\/10.1016\/j.jspi.2020.07.005\">https:\/\/doi.org\/10.1016\/j.jspi.2020.07.005<\/a><\/li>\n\n\n\n<li>Sadoun, M. and Bentarzi, M. (2021). Locally asymptotically efficient estimation for parametric PINAR (p) models. Statistica Neerlandica, 75, 257-289.&nbsp;<a href=\"https:\/\/doi.org\/10.1111\/stan.12234\">https:\/\/doi.org\/10.1111\/stan.12234<\/a><\/li>\n\n\n\n<li>Belarbi, Y., Hamdi, F, Khalfi, A. and Souam S. (2021). Growth, institutions and oil dependence: a buffered threshold panel approach. Economic Modelling, 99, 105477.&nbsp;<a href=\"https:\/\/doi.org\/10.1016\/j.econmod.2021.02.018\">https:\/\/doi.org\/10.1016\/j.econmod.2021.02.018<\/a><\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F. (2019) Probabilistic properties of a Markov-switching periodic GARCH process. Kybernetika, 55, 915-942.&nbsp;<a href=\"https:\/\/doi.org\/10.14736\/kyb-2019-6-0915\">https:\/\/doi.org\/10.14736\/kyb-2019-6-0915<\/a><\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F. (2018). On Markov-switching periodic ARMA models. Communications in statistics-Theory and Methods, 47, 344-364. <a href=\"https:\/\/doi.org\/10.1080\/03610926.2017.1303734\">https:\/\/doi.org\/10.1080\/03610926.2017.1303734<\/a><\/li>\n\n\n\n<li>Boussaha, N. and Hamdi, F. (2018). On Periodic Autoregressive Stochastic Volatility Models: Structure and Estimation. Journal of Statistical Computation and Simulation, 88, 1637-1668. <a href=\"https:\/\/doi.org\/10.1080\/00949655.2017.1401626\">https:\/\/doi.org\/10.1080\/00949655.2017.1401626<\/a><\/li>\n\n\n\n<li>Hamdi, F. and Souam, S. (2018). Mixture Periodic GARCH models: Theory and Applications. Empirical Economics, 55, 1925-1956. <a href=\"https:\/\/doi.org\/10.1007\/s00181-017-1348-9\">https:\/\/doi.org\/10.1007\/s00181-017-1348-9<\/a><\/li>\n\n\n\n<li>Guerbyenne, H. and Hamdi, F. (2015). Bootstrapping Periodic State-Space Models. Communications in Statistics &#8211; Simulation and computation, 44, 374-401. <a href=\"https:\/\/doi.org\/10.1080\/03610918.2013.777737\">https:\/\/doi.org\/10.1080\/03610918.2013.777737<\/a>.<\/li>\n\n\n\n<li>Chaib, Y., Sadki O., and Boutabia, H. (2015). A nonparametric mode estimate under left truncated and right censored model and dependent. South African Statistical Journal, 47, 91-109. <a href=\"https:\/\/journals.co.za\/doi\/10.10520\/EJC143061\">https:\/\/journals.co.za\/doi\/10.10520\/EJC143061<\/a><\/li>\n<\/ol>\n<\/blockquote>\n\n\n\n<p><strong><u>Communications internationales :<\/u><\/strong><\/p>\n\n\n\n<blockquote class=\"wp-block-quote has-background is-layout-flow wp-block-quote-is-layout-flow\" style=\"background:linear-gradient(89deg,rgb(255,206,236) 54%,rgb(152,150,240) 100%)\">\n<ol class=\"wp-block-list\">\n<li>Hamdi, F, and Rehouma, I. Modele spatial de Durbin \u00e0 seuil avec zone tampon pour les donn\u00e9es de panel. 54e Journ\u00e9es de Statistique JdS\u20192023, du 3 au 7 juillet 2023, Bruxelles, Belgique.<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. On inference and forecasting in periodic generalized integer-valued AR (p) models. The International Workshop of Statistics and its Applications (IWSA\u201923), 01-02 Mars 2023, Blida, Alg\u00e9rie.<\/li>\n\n\n\n<li>Khalfi, A. and Sadoun, M. On inference in generalized integer-valued GARCHX models with structural changes. The 6th Mediterranean International Conference of Pure &amp; Applied Mathematics and Related Areas (MICOPAM 2023), 23-27Aout 2023, Paris, France.<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. Self-excited threshold generalized integer-valued autoregressive models: structure, and inference. 2\u00e9me \u00e9dition de la conf\u00e9rence International Conference on Mathematics and Applications (ICMA 2023), 26-27 Septembre 2023, Blida, Alg\u00e9rie<\/li>\n\n\n\n<li>Hamdi, F. Threshold effects in panel data: a new smooth transition approach, Trends and Advances in discrete Mathematics, operations Research, scientific Information and Computer Science, (TAMARICS\u20192022), 04-08 d\u00e9cembre 2022, Tamanrasset, Alg\u00e9rie (conf\u00e9rence pl\u00e9ni\u00e8re).<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun M. Some forecasting technicals in periodic generalized integer-valued autoregressive models. Trends and Advances in discrete Mathematics, operations Research, scientific Information and Computer Science, (TAMARICS\u20192022), 04-08 d\u00e9cembre 2022, Tamanrasset, Alg\u00e9rie.<\/li>\n\n\n\n<li>Aliat, B. and Ouzzani, F. On a periodic INARCH model subject to regime changes. Trends and Advances in discrete Mathematics, operations Research, scientific Information and Computer Science, (TAMARICS\u20192022), 04-08 d\u00e9cembre 2022, Tamanrasset, Alg\u00e9rie.<\/li>\n\n\n\n<li>Khalfi, A. On Dynamic Buffered Threshold Panel Data Model. Trends and Advances in discrete Mathematics, operations Research, scientific Information and Computer Science, (TAMARICS\u20192022), 04-08 d\u00e9cembre 2022, Tamanrasset, Alg\u00e9rie.<\/li>\n\n\n\n<li>Aliat, B. and Sadoun, M. Generalized threshold integer-valued GARCHX modeling for nonlinear time series of counts. Colloque international M\u00e9thode et Outils D\u2019aide \u00e0 la D\u00e9cision (MOAD\u201922), 15-17 Novembre 2022, Bejaia, Alg\u00e9rie.<\/li>\n\n\n\n<li>Aliat, B. and Ouzzani, F. The Markov Switching Periodic INARCH models. Colloque international M\u00e9thode et Outils D\u2019aide \u00e0 la D\u00e9cision (MOAD\u201922), 15-17 Novembre 2022, Bejaia, Alg\u00e9rie.<\/li>\n\n\n\n<li>Boussaha, N., Hamdi, F. and Khalfi, A. A new threshold model for financial time series analysis, 1st International Conference on Pure and Applied Mathematics (IC-PAM\u201921), May 26-27, 2021, Ouargla, Algeria.<\/li>\n\n\n\n<li>Hamdi, F. and Lellou, C. On the estimation of Markov-Switching Periodic GARCH model, 1st International Conference on Pure and Applied Mathematics (IC-PAM\u201921), May 26-27, 2021, Ouargla, Algeria.<\/li>\n\n\n\n<li>Hamdi, F. and Rehouma, I. Threshold spatial non-dynamic panel data, 1st International Conference on Pure and Applied Mathematics (IC-PAM\u201921), May 26-27, 2021, Ouargla, Algeria.<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. Efficient estimation and testing in the periodic integer-valued autoregressive model. XI Workshop in Time Series Econometrics, April 15-16, 2021, Zaragoza, Spain.<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. Periodic integer-valued AR (p) process for modeling and forecasting seasonal counts phenomena. International en Math\u00e9matiques Pures et Appliqu\u00e9es IC-PAM 2021, 26-27 Mai 2021, Ouargla, Alg\u00e9rie.<\/li>\n\n\n\n<li>Bentarzi, M. and Sadoun, M. Detecting the periodicity via an optimal testing procedure in integer-valued AR(p) process. 52\u00e8mes Journ\u00e9es de Statistique de la Soci\u00e9t\u00e9 Fran\u00e7aise de Statistique SFdS (JdS\u20192021), 07-11 Juin 2021, Nice, France.<\/li>\n\n\n\n<li>Khalfi, A. and Sadoun, M. On generalized integer-valued GARCHX models with structural changes. Conference on Mathematics and Applications (ICMA\u20192021), 07-08 D\u00e9cembre 2021, Blida, Alg\u00e9rie.<\/li>\n\n\n\n<li>Benameur, I. et Hamdi, F. Identification d\u2019un mod\u00e8le autor\u00e9gressif \u00e0 seuils avec zones tampons, Colloque International Mod\u00e9lisation Stochastique et Statistique (MSS 2019), 24-26 novembre 2019, Alger, Alg\u00e9rie.<\/li>\n\n\n\n<li>Aliat, B. et Hamdi, F. Le mod\u00e8le Markov-Switching GARCH p\u00e9riodique : Th\u00e9orie et application. Colloque International Mod\u00e9lisation Stochastique et Statistique (MSS 2019), 24-26 novembre 2019, Alger, Alg\u00e9rie.<\/li>\n\n\n\n<li>Guerbyenne, H., Hamdi, F. et Hemis, R. Estimation d\u2019un M\u00e9lange de Mod\u00e9les GARCH P\u00e9riodiques, Rencontre d&#8217;Analyse Math\u00e9matique et Applications (RAMA\u201911), 21-24 novembre 2019, Sidi Bel Abb\u00e8s.<\/li>\n\n\n\n<li>Hamdi, F. Identification of some time series models using predictive density criterion. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2019), October 26 &#8211; 29, 2019, Hammamet, Tunisia, (communication pl\u00e9ni\u00e8re).<\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F. On a periodic GARCH model subject to changes in regime: Theory and application. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2019), October 26 &#8211; 29, 2019, Hammamet, Tunisia.<\/li>\n\n\n\n<li>Boussaha, N., Hamdi, F. and Khalfi, A. On a Buffred Stochastic Volatility Model. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2019), October 26 &#8211; 29, 2019, Hammamet, Tunisia.<\/li>\n\n\n\n<li>Hamdi, F. and Hemis, R. Robust identification procedure for mixture autoregressive model. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2019), October 26 &#8211; 29, 2019, Hammamet, Tunisia.<\/li>\n\n\n\n<li>Belarbi, A., Hamdi, F., Khalfi, A. and Souam, S. A new Threshold Regression Model for non-dynamic Panel Data analysis. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2019), October 26 &#8211; 29, 2019, Hammamet, Tunisia.<\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F. On a Markov-switching periodic GARCH model, International Statistique et Econom\u00e9trie (CISEM\u20192019), Mahdia, Tunisie, 03-05 Mai 2019.<\/li>\n\n\n\n<li>Boussaha, N. and Hamdi, F. Mixture Stochastic Volatility Model : Application to Exchange Rate Modeling, Tendances dans les Applications Math\u00e9matiques en Tunisie Alg\u00e9rie Maroc (TAMTAM\u20192019), Tlemcen, 23-27 F\u00e9vrier 2019.<\/li>\n\n\n\n<li>Aliat, B. et Hamdi, F. Sur les mod\u00e8les espace d&#8217;\u00e9tats p\u00e9riodiques \u00e0 changement de r\u00e9gimes markovien, Tendances dans les Applications Math\u00e9matiques en Tunisie Alg\u00e9rie Maroc (TAMTAM\u20192019), Tlemcen, 23-27 F\u00e9vrier 2019.<\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F. Mod\u00e8les PARMA \u00e0 changement de r\u00e9gimes markovien : application aux concentrations des particules en suspension dans l&#8217;air, 7\u00e8me Conf\u00e9rence Euro-Africaine en Finance et Economie (CEAFE 2018), 21-22 juin 2018, Tunis, Tunisie.<\/li>\n\n\n\n<li>Boussaha, N., Hamdi, F. and Souam, S. Multivariate Periodic Autoregressive Stochastic Volatility Models : Estimation and Applications, 7\u00e8me Conf\u00e9rence Euro-Africaine en Finance et Economie (CEAFE 2018), 21-22 juin 2018, Tunis, Tunisie.<\/li>\n\n\n\n<li>Belarbi, Y., Hamdi, F. and Khalfi, A. On Buffered Panel Data model. The Annuel meeting of ASSET, Florence, Italy, November 8-10, 2018.<\/li>\n\n\n\n<li>Boussaha, N., Hamdi, F. and Souam, S. Periodic Multivariate Autoregressive Stochastic Volatility Model: Application to Exchange Rate Modeling. International Conference on Mathematics and Applications (LICMA&#8217;17), Beirut, Lebanon, May 16-19, 2017.<\/li>\n\n\n\n<li>Hamdi, F. and Souam, S. Mixture Periodic GARCH Models: Theory and Applications. 3rd Days of Econometrics for Finance (JEF&#8217;16), November 18-19, 2016, Rabat, Morocco.<\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F., On Markov-Switching Periodic ARMA Processes: Some Probabilistic Properties and Estimation. 3rd Days of Econometrics for Finance (JEF&#8217;16), November 18-19, 2016, Rabat, Morocco.<\/li>\n\n\n\n<li>Boussaha, N. and Hamdi, F., Probabilistic and dynamic structures of periodic autoregressive stochastic volatility model. 2nd Days of Econometrics for Finance (JEF&#8217;15), December 18-19, 2015, Rabat, Morocco.<\/li>\n\n\n\n<li>Hamdi, F., Modeling the periodic conditional volatility as a mixture process. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2015), November 15 &#8211; 19, 2015, Sidi Bel Abb\u00e8s, Algeria (communication pl\u00e9ni\u00e8re).<\/li>\n\n\n\n<li>Aliat, B. and Hamdi, F., Periodic stationarity and existence of moments of Markov-switching PARMA processes. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2015), November 15 &#8211; 19, 2015, Sidi Bel Abb\u00e8s, Algeria.<\/li>\n\n\n\n<li>Boussaha, N. and Hamdi, F., Periodic multivariate stochastic volatility model: structure and estimation. Conference on Discrete Mathematics and Computer Science (DIMACOS&#8217;2015), November 15 &#8211; 19, 2015, Sidi Bel Abb\u00e8s, Algeria.<\/li>\n\n\n\n<li>Hamdi, F., A Note on the Order Selection of Mixture Periodic Autoregressive Models, 6th international conference on modeling, simulation and applied optimization (ICMSAO&#8217;15), May 27 \u2013 29, 2015 Yildiz Technical University, Istanbul, Turkey.<\/li>\n\n\n\n<li>Boussaha, N. et Hamdi, F., Estimation des param\u00e8tres d&#8217;un mod\u00e8le \u00e0 volatilit\u00e9 stochastique p\u00e9riodique, 6th Operational Research Practice in Africa Conference, ORPA&#8217;2015, April 20-22, 2015, USTHB, Algiers, Algeria.<\/li>\n\n\n\n<li>Hamdi, F., A Variant Akaike Information Criterion for Mixture Autoregressive Model Selection International Congress in Honour of Professor Ravi P. Agarwal, Uludag University, June 23-26, 2014, Bursa, Turkey.<\/li>\n\n\n\n<li>Sadki, O., Local polynomial estimation of conditional hazard rate function for truncated data, 7th international conference of the ERCIM working group on computational and methodological statistics, 06-08 decembre 2014, University of Pisa, Italy.<\/li>\n\n\n\n<li>Sadki, O., Asymptotic normality of the kernel estimator of the conditional density under. Colloque International Mod\u00e9lisation Stochastique et Statistique (MSS&#8217;14), 23- 25 novembre 2014, USTHB, Alger, Alg\u00e9rie.<\/li>\n\n\n\n<li>Hamdi, F. and Souam, S. Mixture Periodic GARCH models: Applications to Exchange Rate Modeling. 5th international conference on modeling, simulation and applied optimization, April 28-30, 2013, Hammamet, Tunisia.<\/li>\n\n\n\n<li>Hemis, R. Bayesian estimation of regression models with autoregressive errors by the Gibbs sampling, International Symposium on Operationall Research and Applications (ISORAP&#8217;2013), 21-23 May 2015, Marrakech, Morocco.<\/li>\n\n\n\n<li>Hemis, R. Bayesian inference of the Gaussian mixture GARCH model with periodic error, Algerian-Turkish International Days on Mathematics 2013 (ATIM&#8217; 2013), 12\u201314 September 2013, Istanbul, Turkey.<\/li>\n\n\n\n<li>Sadki, O. Asymptotic behaviour of the lynden-Bell estimator under association. ISI world Statistics congress2013: Asymptotic and Related Topics: Theories and Methodologies, 2-4 September 2013, Tokyo, Japan.<\/li>\n<\/ol>\n<\/blockquote>\n\n\n\n<p><strong><u>Communications nationales :<\/u><\/strong><\/p>\n\n\n\n<blockquote class=\"wp-block-quote is-style-default has-background is-layout-flow wp-block-quote-is-layout-flow\" style=\"background:linear-gradient(89deg,rgb(255,206,236) 42%,rgb(152,150,240) 100%)\">\n<ol class=\"wp-block-list\">\n<li>M. Bentarzi and M. Sadoun. Some forecasting technicals in periodic integer-valued AR(p) models, Journ\u00e9e Scientifique du Laboratoire MSTD, USTHB, Alger, 26 F\u00e9vrier 2022.<\/li>\n\n\n\n<li>A. Khalfi and M. Sadoun. On estimating and testing in generalized INGARCHX models with structural breaks, Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), USTHB, Alger, les 15-16 Octobre 2022.<\/li>\n\n\n\n<li>M. Bentarzi and M. Sadoun. Efficient estimation and testing for the self-exciting threshold INAR(p) models. Nouvelles Tendances en Math\u00e9matiques Th\u00e9oriques et Computationnelles (NTMTC\u20192022), les 8-9 Novembre 2022, Tamanrasset, Alg\u00e9rie.<\/li>\n\n\n\n<li>B. Aliat and F. Ouzzani. On Markov Switching Periodic INARCH models: some probabilistic properties and estimation, Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), USTHB, Alger, les 15-16 Octobre 2022.<\/li>\n\n\n\n<li>F. Hamdi and C. Lellou. Estimation des mod\u00e8les Espace d&#8217;Etats \u00e0 Effets-Mixtes, Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), Alger, les 11-12 d\u00e9cembre 2021.<\/li>\n\n\n\n<li>F. Hamdi and I. Rehouma. Mod\u00e8le de panel spatial avec zone tampon, Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), USTHB, Alger, les 11-12 d\u00e9cembre 2021.<\/li>\n\n\n\n<li>A. Bendahmane, S. Boulahbel and A. Khalfi. A Buffered Threshold approach for the Economic Growth analysis: The impact of the Institutional Quality on the role of Financial Development. Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), USTHB, Alger, les 11-12 d\u00e9cembre 2021.<\/li>\n\n\n\n<li>F. Hamdi. On nonlinear time series modeling: application in economics and finance, Mini-Congr\u00e8s des Math\u00e9maticiens Alg\u00e9riens (MCMA\u20192021), M\u2019sila les 27-28 octobre 2021 (conf\u00e9rence pl\u00e9ni\u00e8re).<\/li>\n\n\n\n<li>F. Hamdi. Mod\u00e8les de pr\u00e9vision en \u00e9conomie et finance, Journ\u00e9e Internationale des Math\u00e9matiques (JIM\u20192021), Ecole Nationale Polytechnique (ENP), Alger, 08 avril 2021 (conf\u00e9rence pl\u00e9ni\u00e8re).<\/li>\n\n\n\n<li>B. Aliat and M. Sadoun. Generalized threshold integer-valued GARCHX for nonlinear counts data. Mini-Congr\u00e8s des Math\u00e9maticiens Alg\u00e9riens (MCMA\u20192021), M\u2019sila les 27-28 octobre 2021.<\/li>\n\n\n\n<li>M. Bentarzi and M. Sadoun. Testing the periodicity of the parameters in generalized integer-valued AR (p) models, Journ\u00e9es Scientifiques du Laboratoire RECITS (JSL\u20192021), USTHB, Alger, les 11-12 d\u00e9cembre 2021.<\/li>\n<\/ol>\n<\/blockquote>\n\n\n\n<p><strong><u>Soutenances :<\/u><\/strong><\/p>\n\n\n\n<blockquote class=\"wp-block-quote has-background is-layout-flow wp-block-quote-is-layout-flow\" style=\"background:linear-gradient(89deg,rgb(255,206,236) 50%,rgb(152,150,240) 100%)\">\n<ol style=\"background:linear-gradient(89deg,rgb(255,206,236) 51%,rgb(152,150,240) 100%)\" class=\"has-background wp-block-list\">\n<li>Abderaouf KHALFI. \u00c9tude de quelques mod\u00e8les de s\u00e9ries chronologiques \u00e0 seuil. Doctorat LMD en math\u00e9matique soutenu publiquement le samedi 26\/12\/2020 \u00e0 la Facult\u00e9 de Math\u00e9matiques. Directeur de th\u00e8se : Pr. HAMDI Fay\u00e7al.<\/li>\n\n\n\n<li>Billel ALIAT. Sur les mod\u00e8les de s\u00e9ries chronologiques \u00e0 changement de r\u00e9gime Markovien. Doctorat LMD en math\u00e9matique soutenu publiquement le lundi 16 avril 2018 \u00e0 la Facult\u00e9 de Math\u00e9matiques. Directeur de th\u00e8se : Pr. HAMDI Fay\u00e7al.<\/li>\n\n\n\n<li>Nadia BOUSSAHA. Sur les mod\u00e8les \u00e0 volatilit\u00e9 stochastique. Doctorat en math\u00e9matique soutenu publiquement le 1 juillet 2018 \u00e0 la Facult\u00e9 de Math\u00e9matiques. Directeur de th\u00e8se : Pr. HAMDI Fay\u00e7al.<\/li>\n\n\n\n<li>CHAIB Yacine. Estimation de la fonction des modes pour des donn\u00e9es tronqu\u00e9es et censur\u00e9es. Doctorat soutenu en 2014 \u00e0 l&#8217;Universit\u00e9 d&#8217;Annaba. Co-directeur de Th\u00e8se : Pr. SADKI Ourida<\/li>\n\n\n\n<li>KHELIFA Amira. Mod\u00e9lisation Stochastique de Ph\u00e9nom\u00e8nes Biologiques \u2013Etude d&#8217;un R\u00e9seau de R\u00e9actions Chimiques. Magister soutenu le 13 novembre 2014 \u00e0 l&#8217;USTHB. Directeur de m\u00e9moire : SEDDIKI-MERAD Djenat.<\/li>\n\n\n\n<li>GRABA Samia Zouina. M\u00e9thodes Probabilistes de R\u00e9solution des Probl\u00e8mes li\u00e9s aux R\u00e9seaux de Communication. Magister soutenu le 10 juillet 2014 \u00e0 l&#8217;USTHB. Directeur de m\u00e9moire : SEDDIKI-MERAD Djenat.<\/li>\n\n\n\n<li>ZABOOT Nassima. Estimation du point de saut de la fonction de hasard pour des donn\u00e9es censur\u00e9es. Magister soutenu le 20 novembre 2013 \u00e0 l&#8217;USTHB. Directeur de m\u00e9moire : Pr. SADKI Ourida.<\/li>\n\n\n\n<li>BELKADI Souad. Analyse par bootstrap des donn\u00e9es censur\u00e9es. Magister soutenu le 20 novembre 2013 \u00e0 l&#8217;USTHB. Directeur de m\u00e9moire : Pr. SADKI Ourida.<\/li>\n<\/ol>\n<\/blockquote>\n\n\n\n<p><strong>Les membres de l&#8217;\u00e9quipe ont particip\u00e9 aussi \u00e0 de nombreuses publications nationales, communications nationales, soutenances de master et de licence et d&#8217;organisation de manifestations scientifiques nationales et internationales.<\/strong><\/p>\n","protected":false},"excerpt":{"rendered":"<p>Equipe : S\u00e9ries Temporelles, Econom\u00e9trie et Probabilit\u00e9s Responsable : Pr. HAMDI Fay\u00e7al Mail : fhamdi@usthb.dz Pr\u00e9sentation La th\u00e9matique de l&#8217;\u00e9quipe se d\u00e9cline en deux volets. Le premier volet est consacr\u00e9 \u00e0 l&#8217;analyse alg\u00e9brique, probabiliste et statistique des mod\u00e8les de s\u00e9ries <span class=\"readmore\"><a href=\"https:\/\/lrecits.usthb.dz\/index.php\/series-temporelles-econometrie-et-probabilites\/\">Continue Reading<\/a><\/span><\/p>\n","protected":false},"author":1,"featured_media":0,"parent":0,"menu_order":0,"comment_status":"closed","ping_status":"closed","template":"","meta":{"footnotes":""},"class_list":["post-70","page","type-page","status-publish","hentry"],"_links":{"self":[{"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/pages\/70","targetHints":{"allow":["GET"]}}],"collection":[{"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/pages"}],"about":[{"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/types\/page"}],"author":[{"embeddable":true,"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/users\/1"}],"replies":[{"embeddable":true,"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/comments?post=70"}],"version-history":[{"count":22,"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/pages\/70\/revisions"}],"predecessor-version":[{"id":356,"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/pages\/70\/revisions\/356"}],"wp:attachment":[{"href":"https:\/\/lrecits.usthb.dz\/index.php\/wp-json\/wp\/v2\/media?parent=70"}],"curies":[{"name":"wp","href":"https:\/\/api.w.org\/{rel}","templated":true}]}}