Measures of Dependence on Stationary Sequences of Random Variables
Author : Richard Crane Bradley
Publisher :
Page : 532 pages
File Size : 36,63 MB
Release : 1978
Category : Random variables
ISBN :
Author : Richard Crane Bradley
Publisher :
Page : 532 pages
File Size : 36,63 MB
Release : 1978
Category : Random variables
ISBN :
Author : Murad Taqqu
Publisher : Springer-Verlag
Page : 468 pages
File Size : 24,25 MB
Release : 2019-06-12
Category : Mathematics
ISBN : 1461581621
Author : Herold Dehling
Publisher : Springer Science & Business Media
Page : 378 pages
File Size : 12,88 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1461200997
Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical procedures. Recently, the need to model the dependence structure in data sets from many different subject areas such as finance, insurance, and telecommunications has led to new developments concerning the empirical distribution function and the empirical process for dependent, mostly stationary sequences. This work gives an introduction to this new theory of empirical process techniques, which has so far been scattered in the statistical and probabilistic literature, and surveys the most recent developments in various related fields. Key features: A thorough and comprehensive introduction to the existing theory of empirical process techniques for dependent data * Accessible surveys by leading experts of the most recent developments in various related fields * Examines empirical process techniques for dependent data, useful for studying parametric and non-parametric statistical procedures * Comprehensive bibliographies * An overview of applications in various fields related to empirical processes: e.g., spectral analysis of time-series, the bootstrap for stationary sequences, extreme value theory, and the empirical process for mixing dependent observations, including the case of strong dependence. To date this book is the only comprehensive treatment of the topic in book literature. It is an ideal introductory text that will serve as a reference or resource for classroom use in the areas of statistics, time-series analysis, extreme value theory, point process theory, and applied probability theory. Contributors: P. Ango Nze, M.A. Arcones, I. Berkes, R. Dahlhaus, J. Dedecker, H.G. Dehling,
Author : Jérome Dedecker
Publisher : Springer Science & Business Media
Page : 326 pages
File Size : 17,52 MB
Release : 2007-07-29
Category : Mathematics
ISBN : 038769952X
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.
Author : M. R. Leadbetter
Publisher : Springer Science & Business Media
Page : 344 pages
File Size : 11,76 MB
Release : 2012-12-06
Category : Mathematics
ISBN : 1461254493
Classical Extreme Value Theory-the asymptotic distributional theory for maxima of independent, identically distributed random variables-may be regarded as roughly half a century old, even though its roots reach further back into mathematical antiquity. During this period of time it has found significant application-exemplified best perhaps by the book Statistics of Extremes by E. J. Gumbel-as well as a rather complete theoretical development. More recently, beginning with the work of G. S. Watson, S. M. Berman, R. M. Loynes, and H. Cramer, there has been a developing interest in the extension of the theory to include, first, dependent sequences and then continuous parameter stationary processes. The early activity proceeded in two directions-the extension of general theory to certain dependent sequences (e.g., Watson and Loynes), and the beginning of a detailed theory for stationary sequences (Berman) and continuous parameter processes (Cramer) in the normal case. In recent years both lines of development have been actively pursued.
Author : Paul Doukhan
Publisher : Springer Science & Business Media
Page : 222 pages
File Size : 27,70 MB
Release : 2010-07-23
Category : Mathematics
ISBN : 3642141048
This account of recent works on weakly dependent, long memory and multifractal processes introduces new dependence measures for studying complex stochastic systems and includes other topics such as the dependence structure of max-stable processes.
Author : Patrice Bertail
Publisher : Springer Science & Business Media
Page : 491 pages
File Size : 47,78 MB
Release : 2006-09-24
Category : Mathematics
ISBN : 038736062X
This book gives an account of recent developments in the field of probability and statistics for dependent data. It covers a wide range of topics from Markov chain theory and weak dependence with an emphasis on some recent developments on dynamical systems, to strong dependence in times series and random fields. There is a section on statistical estimation problems and specific applications. The book is written as a succession of papers by field specialists, alternating general surveys, mostly at a level accessible to graduate students in probability and statistics, and more general research papers mainly suitable to researchers in the field.
Author : I. A.L. Ibragimov
Publisher :
Page : 0 pages
File Size : 25,93 MB
Release :
Category :
ISBN :
Author : Ilʹdar Abdulovich Ibragimov
Publisher :
Page : 456 pages
File Size : 34,61 MB
Release : 1971
Category : Distribution (Probability theory).
ISBN :
Author : I. A. Ibragimov
Publisher :
Page : pages
File Size : 24,47 MB
Release : 1971
Category :
ISBN :