Doukhan / Lang / Surgailis Dependence in Probability and Statistics
1. Auflage 2010
ISBN: 978-3-642-14104-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
E-Book, Englisch, Band 200, 205 Seiten, eBook
Reihe: Lecture Notes in Statistics
ISBN: 978-3-642-14104-1
Verlag: Springer
Format: PDF
Kopierschutz: 1 - PDF Watermark
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.
Zielgruppe
Research
Autoren/Hrsg.
Weitere Infos & Material
Permutation and bootstrap statistics under infinite variance.- Max–Stable Processes: Representations, Ergodic Properties and Statistical Applications.- Best attainable rates of convergence for the estimation of the memory parameter.- Harmonic analysis tools for statistical inference in the spectral domain.- On the impact of the number of vanishing moments on the dependence structures of compound Poisson motion and fractional Brownian motion in multifractal time.- Multifractal scenarios for products of geometric Ornstein-Uhlenbeck type processes.- A new look at measuring dependence.- Robust regression with infinite moving average errors.- A note on the monitoring of changes in linear models with dependent errors.- Testing for homogeneity of variance in the wavelet domain..