A method of installing an instrumented rolling bearing on a shaft, the rolling bearing being of the type having a non-rotatable part comprising a non-rotatable race and sensor means, a rotatable part comprising a rotatable race and encoder means, and a row of rolling bodies disposed between two rolling paths of the non-rotatable and rotatable races, the non-rotatable sensor means and the rotatable encoder means forming a rotation parameter detector system in which, prior to installation, the encoder means are retained relative to the sensor means in an angular position in which said encoder means generate a reference signal in the sensor means during clamping of the rolling bearing on the shaft, the encoder means and the rotatable race of the rolling bearing are fastened together circumferentially, and the retention of the angular position of the encoder means relative to the sensor means is eliminated.