Téléchargez le livre : Asymptotic Theory of Weakly Dependent Random Processes

Asymptotic Theory of Weakly Dependent Random Processes

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Springer


Collection :

Probability Theory and Stochastic Modelling

Paru le : 2017-04-13

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Description

Presenting tools to aid understanding of asymptotic theory and weakly dependent processes, this book is devoted to inequalities and limit theorems for sequences of random variables that are strongly mixing in the sense of Rosenblatt, or absolutely regular.
The first chapter introduces covariance inequalities under strong mixing or absolute regularity. These covariance inequalities are applied in Chapters 2, 3 and 4 to moment inequalities, rates of convergence in the strong law, and central limit theorems. Chapter 5 concerns coupling. In Chapter 6 new deviation inequalities and new moment inequalities for partial sums via the coupling lemmas of Chapter 5 are derived and applied to the bounded law of the iterated logarithm. Chapters 7 and 8 deal with the theory of empirical processes under weak dependence. Lastly, Chapter 9 describes links between ergodicity, return times and rates of mixing in the case of irreducible Markov chains. Each chapter ends with a set of exercises.
The book is an updated and extended translation of the French edition entitled "Théorie asymptotique des processus aléatoires faiblement dépendants" (Springer, 2000). It will be useful for students and researchers in mathematical statistics, econometrics, probability theory and dynamical systems who are interested in weakly dependent processes.
Pages
204 pages
Collection
Probability Theory and Stochastic Modelling
Parution
2017-04-13
Marque
Springer
EAN papier
9783662543221
EAN PDF
9783662543238
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
20
Taille du fichier
2724 Ko
Prix
89,66 €
EAN EPUB
9783662543238
Informations sur l'ebook
Nombre pages copiables
2
Nombre pages imprimables
20
Taille du fichier
4311 Ko
Prix
89,66 €

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