Dependence in probability and statistics
By: Paul Doukhan ... [et al.], editors
Series: Lecture notes in statistics -- v. 200; Lecture notes in statistics (Springer-Verlag) -- v. 200.
Publisher: Springer
Published: 2010
Place of publication: Heidelberg [Germany]; New York
Language: eng
Number of pages: 205
ISBN-13: 9783642141034; 9783642141041
Subjects: Probabilities; Wahrscheinlichkeitstheorie; Statistik; Stochastische Abhängigkeit; Dependence (Statistics)
Description: This volume collects recent works on weakly dependent, long-memory and multifractal processes and introduces new dependence measures for studying complex stochastic systems. Other topics include the statistical theory for bootstrap and permutation statistics for infinite variance processes, the dependence structure of max-stable processes, and the statistical properties of spectral estimators of the long memory parameter. The asymptotic behavior of Fejér graph integrals and their use for proving central limit theorems for tapered estimators are investigated. New multifractal processes are introduced and their multifractal properties analyzed. Wavelet-based methods are used to study multifractal processes with different multiresolution quantities, and to detect changes in the variance of random processes. Linear regression models with long-range dependent errors are studied, as is the issue of detecting changes in their parameters.
Notes: Includes bibliographical references.
Table of contents: title: Permutation and bootstrap statistics under infinite variance / István Berkes, Lajos Horváth, and Johannes Schauer; title: Max-stable processes : representations, ergodic properties and statistical applications / Stilian A. Stoev; title: Best attainable rates of convergence for the estimation of the memory parameter / Philippe Soulier; title: Harmonic analysis tools for statistical inference in the spectral domain / Florin Avram, Nikolai Leonenko, and Ludmila Sakhno; title: On the impact of the number of vanishing moments on the dependence structures of compound Poisson motion and fractional Brownian motion in multifractal time / Béatrice Vedel ... [et al.]; title: Multifractal scenarios for products of geometric Ornstein-Uhlenbeck type processes / Vo V. Anh, Nikolai N. Leonenko, and Narn-Rueih Shieh; title: A new look at measuring dependence / Wei Biao Wu and Jan Mielniczuk; title: Robust regression with infinite moving average errors / Patrick J. Farrell and Mohamedou Ould-Haye; title: A note on the monitoring of changes in linear models with dependent errors / Alexander Schmitz and Josef G. Steinebach; title: Testing for homogeneity of variance in the wavelet domain / Olaf Kouamo, Eric Moulines, and Francois Roueff.