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Asymptotic Theory of Weakly Dependent Random Processes

Af: Emmanuel Rio Engelsk Hardback

Asymptotic Theory of Weakly Dependent Random Processes

Af: Emmanuel Rio Engelsk Hardback
Tjek vores konkurrenters priser
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.
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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.
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Se mere i:
Produktdetaljer
Sprog: Engelsk
Sider: 204
ISBN-13: 9783662543221
Indbinding: Hardback
Udgave:
ISBN-10: 3662543222
Kategori: Spilteori
Udg. Dato: 2 maj 2017
Længde: 0mm
Bredde: 155mm
Højde: 235mm
Forlag: Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Oplagsdato: 2 maj 2017
Forfatter(e): Emmanuel Rio
Forfatter(e) Emmanuel Rio

Kategori Spilteori

ISBN-13 9783662543221

Sprog Engelsk

Indbinding Hardback

Sider 204

Udgave

Længde 0mm

Bredde 155mm

Højde 235mm

Udg. Dato 2 maj 2017

Oplagsdato 2 maj 2017

Forlag Springer-Verlag Berlin and Heidelberg GmbH & Co. KG

Kategori sammenhænge