Dependence in Probability and Statistics

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Paul Doukhan, Gabriel Lang, Donatas Surgailis, Gilles Teyssière
Springer Science & Business Media, Jul 23, 2010 - Mathematics - 205 pages
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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.

 

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Contents

Permutation and bootstrap statistics underinfinite variance
1
Representations Ergodic Properties and Statistical Applications
21
Best attainable rates of convergence for the estimation of the memory parameter
43
Harmonic analysis tools for statistical inference in the spectral domain
59
On the impact of the number of vanishing moments on the dependence structures of compound Poisson motion and fractional Brownian motion in ...
71
Multifractal scenarios for products of geometric OrnsteinUhlenbeck type processes
103
A new look at measuring dependence
123
Robust regression with infinite moving average errors
143
A note on the monitoring of changes in linear models with dependent errors
159
Testing for homogeneity of variance in the wavelet domain
175
Lecture Notes in Statistics
206
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