Weak Dependence: With Examples and Applications
With Examples and Applications
(Sprache: Englisch)
This book develops Doukhan/Louhichi's 1999 idea to measure asymptotic independence of a random process. The authors, who helped develop this theory, propose examples of models fitting such conditions: stable Markov chains, dynamical systems or more...
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Klappentext zu „Weak Dependence: With Examples and Applications “
This book develops Doukhan/Louhichi's 1999 idea to measure asymptotic independence of a random process. The authors, who helped develop this theory, propose examples of models fitting such conditions: stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory. Applications are still needed to develop a method of analysis for nonlinear times series, and this book provides a strong basis for additional studies.
Inhaltsverzeichnis zu „Weak Dependence: With Examples and Applications “
Weak dependence.- Models.- Tools for non causal cases.- Tools for causal cases.- Applications of strong laws of large numbers.- Central Limit theorem.- Donsker Principles.- Law of the iterated logarithm (LIL).- The Empirical process.- Functional estimation.- Spectral estimation.- Econometric applications and resampling.
Bibliographische Angaben
- Autoren: Jérome Dedecker , Paul Doukhan , Gabriel Lang
- 2007, 2007, 322 Seiten, Maße: 15,5 x 23,5 cm, Kartoniert (TB), Englisch
- Verlag: Springer, New York
- ISBN-10: 0387699511
- ISBN-13: 9780387699516
- Erscheinungsdatum: 18.07.2007
Sprache:
Englisch
Rezension zu „Weak Dependence: With Examples and Applications “
From the reviews:"I appreciate this book as a very welcome and thorough discussion of the actual state-of-the art in the modeling of dependence structures. It provides a large number of motivating examples and applications, rigorous proofs, and valuable intuitions for the willing and mathematically well-trained reader with essential prior knowledge of the mathematical prerequisites of weak dependence ... . It is ... the book to those researchers already aware of the necessity of the methods discussed here." (Harry Haupt, Advances in Statistical Analysis, Vol. 93, 2009)"This book ... provides a detailed description of the notion of weak dependence as well as properties and applications. ... Overall the book is neatly written ... . the book is very rich in its material as it contains earlier works on dependence and ... show a lot of applications of the theory. It also contains a large number of examples and expositions of the idea of weak dependence in models ... which provide good insight." (Dimitris Karlis, Zentralblatt MATH, Vol. 1165, 2009)
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