Empirical Process Techniques For Dependent Data

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Empirical Process Techniques for Dependent Data

Author : Herold Dehling
Publisher : Springer Science & Business Media
ISBN 13 : 1461200997
Total Pages : 378 pages
Book Rating : 4.4/5 (612 download)

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Book Synopsis Empirical Process Techniques for Dependent Data by : Herold Dehling

Download or read book Empirical Process Techniques for Dependent Data written by Herold Dehling and published by Springer Science & Business Media. This book was released on 2012-12-06 with total page 378 pages. Available in PDF, EPUB and Kindle. Book excerpt: Empirical process techniques for independent data have been used for many years in statistics and probability theory. These techniques have proved very useful for studying asymptotic properties of parametric as well as non-parametric statistical procedures. Recently, the need to model the dependence structure in data sets from many different subject areas such as finance, insurance, and telecommunications has led to new developments concerning the empirical distribution function and the empirical process for dependent, mostly stationary sequences. This work gives an introduction to this new theory of empirical process techniques, which has so far been scattered in the statistical and probabilistic literature, and surveys the most recent developments in various related fields. Key features: A thorough and comprehensive introduction to the existing theory of empirical process techniques for dependent data * Accessible surveys by leading experts of the most recent developments in various related fields * Examines empirical process techniques for dependent data, useful for studying parametric and non-parametric statistical procedures * Comprehensive bibliographies * An overview of applications in various fields related to empirical processes: e.g., spectral analysis of time-series, the bootstrap for stationary sequences, extreme value theory, and the empirical process for mixing dependent observations, including the case of strong dependence. To date this book is the only comprehensive treatment of the topic in book literature. It is an ideal introductory text that will serve as a reference or resource for classroom use in the areas of statistics, time-series analysis, extreme value theory, point process theory, and applied probability theory. Contributors: P. Ango Nze, M.A. Arcones, I. Berkes, R. Dahlhaus, J. Dedecker, H.G. Dehling,

Empirical Process Techniques for Dependent Data

Author : Herold Dehling
Publisher : Birkhauser
ISBN 13 : 9783764342012
Total Pages : 381 pages
Book Rating : 4.3/5 (42 download)

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Book Synopsis Empirical Process Techniques for Dependent Data by : Herold Dehling

Download or read book Empirical Process Techniques for Dependent Data written by Herold Dehling and published by Birkhauser. This book was released on 2002-01-01 with total page 381 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Introduction to Empirical Processes and Semiparametric Inference

Author : Michael R. Kosorok
Publisher : Springer Science & Business Media
ISBN 13 : 0387749780
Total Pages : 482 pages
Book Rating : 4.3/5 (877 download)

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Book Synopsis Introduction to Empirical Processes and Semiparametric Inference by : Michael R. Kosorok

Download or read book Introduction to Empirical Processes and Semiparametric Inference written by Michael R. Kosorok and published by Springer Science & Business Media. This book was released on 2007-12-29 with total page 482 pages. Available in PDF, EPUB and Kindle. Book excerpt: Kosorok’s brilliant text provides a self-contained introduction to empirical processes and semiparametric inference. These powerful research techniques are surprisingly useful for developing methods of statistical inference for complex models and in understanding the properties of such methods. This is an authoritative text that covers all the bases, and also a friendly and gradual introduction to the area. The book can be used as research reference and textbook.

Functional Gaussian Approximation for Dependent Structures

Author : Florence Merlevède
Publisher : Oxford University Press
ISBN 13 : 0192561863
Total Pages : 496 pages
Book Rating : 4.1/5 (925 download)

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Book Synopsis Functional Gaussian Approximation for Dependent Structures by : Florence Merlevède

Download or read book Functional Gaussian Approximation for Dependent Structures written by Florence Merlevède and published by Oxford University Press. This book was released on 2019-02-14 with total page 496 pages. Available in PDF, EPUB and Kindle. Book excerpt: Functional Gaussian Approximation for Dependent Structures develops and analyses mathematical models for phenomena that evolve in time and influence each another. It provides a better understanding of the structure and asymptotic behaviour of stochastic processes. Two approaches are taken. Firstly, the authors present tools for dealing with the dependent structures used to obtain normal approximations. Secondly, they apply normal approximations to various examples. The main tools consist of inequalities for dependent sequences of random variables, leading to limit theorems, including the functional central limit theorem and functional moderate deviation principle. The results point out large classes of dependent random variables which satisfy invariance principles, making possible the statistical study of data coming from stochastic processes both with short and long memory. The dependence structures considered throughout the book include the traditional mixing structures, martingale-like structures, and weakly negatively dependent structures, which link the notion of mixing to the notions of association and negative dependence. Several applications are carefully selected to exhibit the importance of the theoretical results. They include random walks in random scenery and determinantal processes. In addition, due to their importance in analysing new data in economics, linear processes with dependent innovations will also be considered and analysed.

Empirical Processes

Author : David Pollard
Publisher : IMS
ISBN 13 : 9780940600164
Total Pages : 100 pages
Book Rating : 4.6/5 (1 download)

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Book Synopsis Empirical Processes by : David Pollard

Download or read book Empirical Processes written by David Pollard and published by IMS. This book was released on 1990 with total page 100 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Statistical Inference for Discrete Time Stochastic Processes

Author : M. B. Rajarshi
Publisher : Springer Science & Business Media
ISBN 13 : 8132207637
Total Pages : 121 pages
Book Rating : 4.1/5 (322 download)

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Book Synopsis Statistical Inference for Discrete Time Stochastic Processes by : M. B. Rajarshi

Download or read book Statistical Inference for Discrete Time Stochastic Processes written by M. B. Rajarshi and published by Springer Science & Business Media. This book was released on 2014-07-08 with total page 121 pages. Available in PDF, EPUB and Kindle. Book excerpt: This work is an overview of statistical inference in stationary, discrete time stochastic processes. Results in the last fifteen years, particularly on non-Gaussian sequences and semi-parametric and non-parametric analysis have been reviewed. The first chapter gives a background of results on martingales and strong mixing sequences, which enable us to generate various classes of CAN estimators in the case of dependent observations. Topics discussed include inference in Markov chains and extension of Markov chains such as Raftery's Mixture Transition Density model and Hidden Markov chains and extensions of ARMA models with a Binomial, Poisson, Geometric, Exponential, Gamma, Weibull, Lognormal, Inverse Gaussian and Cauchy as stationary distributions. It further discusses applications of semi-parametric methods of estimation such as conditional least squares and estimating functions in stochastic models. Construction of confidence intervals based on estimating functions is discussed in some detail. Kernel based estimation of joint density and conditional expectation are also discussed. Bootstrap and other resampling procedures for dependent sequences such as Markov chains, Markov sequences, linear auto-regressive moving average sequences, block based bootstrap for stationary sequences and other block based procedures are also discussed in some detail. This work can be useful for researchers interested in knowing developments in inference in discrete time stochastic processes. It can be used as a material for advanced level research students.

Contemporary Developments in Statistical Theory

Author : Soumendra Lahiri
Publisher : Springer Science & Business Media
ISBN 13 : 3319026518
Total Pages : 395 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Contemporary Developments in Statistical Theory by : Soumendra Lahiri

Download or read book Contemporary Developments in Statistical Theory written by Soumendra Lahiri and published by Springer Science & Business Media. This book was released on 2013-12-02 with total page 395 pages. Available in PDF, EPUB and Kindle. Book excerpt: This volume highlights Prof. Hira Koul’s achievements in many areas of Statistics, including Asymptotic theory of statistical inference, Robustness, Weighted empirical processes and their applications, Survival Analysis, Nonlinear time series and Econometrics, among others. Chapters are all original papers that explore the frontiers of these areas and will assist researchers and graduate students working in Statistics, Econometrics and related areas. Prof. Hira Koul was the first Ph.D. student of Prof. Peter Bickel. His distinguished career in Statistics includes the receipt of many prestigious awards, including the Senior Humbolt award (1995), and dedicated service to the profession through editorial work for journals and through leadership roles in professional societies, notably as the past president of the International Indian Statistical Association. Prof. Hira Koul has graduated close to 30 Ph.D. students, and made several seminal contributions in about 125 innovative research papers. The long list of his distinguished collaborators is represented by the contributors to this volume.

Contemporaneous Event Studies in Corporate Finance

Author : Jau-Lian Jeng
Publisher : Springer Nature
ISBN 13 : 3030538095
Total Pages : 239 pages
Book Rating : 4.0/5 (35 download)

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Book Synopsis Contemporaneous Event Studies in Corporate Finance by : Jau-Lian Jeng

Download or read book Contemporaneous Event Studies in Corporate Finance written by Jau-Lian Jeng and published by Springer Nature. This book was released on 2020-11-03 with total page 239 pages. Available in PDF, EPUB and Kindle. Book excerpt: Providing a comprehensive overview of event study methodology in the field of corporate finance, this book discusses how traditional methods verify the significance and insignificance of events in statistical sampling, and emphasize possible deviation from the statistics of interest. However, the author illustrates the flaws of conventional methodology and proposes alternative methods which can be used for a more robust study of estimating normal and abnormal returns. Traditional methods fail to recognize that the importance of an event will also influence the frequency of the occurrence of the event, and consequently they produce subjective sampling results. This book highlights contemporaneous recursive methods which can be used to track down normal returns and avoid arbitrary determination for the estimation and event period. In addition, the author offers an alternative monitoring scheme to identify the events of concern. Addressing a need for more objective sampling methods in corporate finance event studies, this timely book will appeal to students and academics researching financial econometrics and time series analysis, corporate finance and capital markets.

Large Sample Techniques for Statistics

Author : Jiming Jiang
Publisher : Springer Science & Business Media
ISBN 13 : 144196827X
Total Pages : 612 pages
Book Rating : 4.4/5 (419 download)

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Book Synopsis Large Sample Techniques for Statistics by : Jiming Jiang

Download or read book Large Sample Techniques for Statistics written by Jiming Jiang and published by Springer Science & Business Media. This book was released on 2010-06-30 with total page 612 pages. Available in PDF, EPUB and Kindle. Book excerpt: In a way, the world is made up of approximations, and surely there is no exception in the world of statistics. In fact, approximations, especially large sample approximations, are very important parts of both theoretical and - plied statistics.TheGaussiandistribution,alsoknownasthe normaldistri- tion,is merelyonesuchexample,dueto thewell-knowncentrallimittheorem. Large-sample techniques provide solutions to many practical problems; they simplify our solutions to di?cult, sometimes intractable problems; they j- tify our solutions; and they guide us to directions of improvements. On the other hand, just because large-sample approximations are used everywhere, and every day, it does not guarantee that they are used properly, and, when the techniques are misused, there may be serious consequences. 2 Example 1 (Asymptotic? distribution). Likelihood ratio test (LRT) is one of the fundamental techniques in statistics. It is well known that, in the 2 “standard” situation, the asymptotic null distribution of the LRT is?,with the degreesoffreedomequaltothe di?erencebetweenthedimensions,de?ned as the numbers of free parameters, of the two nested models being compared (e.g., Rice 1995, pp. 310). This might lead to a wrong impression that the 2 asymptotic (null) distribution of the LRT is always? . A similar mistake 2 might take place when dealing with Pearson’s? -test—the asymptotic distri- 2 2 bution of Pearson’s? -test is not always? (e.g., Moore 1978).

High Dimensional Probability

Author : Evarist Giné
Publisher : IMS
ISBN 13 : 9780940600676
Total Pages : 288 pages
Book Rating : 4.6/5 (6 download)

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Book Synopsis High Dimensional Probability by : Evarist Giné

Download or read book High Dimensional Probability written by Evarist Giné and published by IMS. This book was released on 2006 with total page 288 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Asymptotic Theory of Weakly Dependent Random Processes

Author : Emmanuel Rio
Publisher : Springer
ISBN 13 : 3662543230
Total Pages : 204 pages
Book Rating : 4.6/5 (625 download)

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Book Synopsis Asymptotic Theory of Weakly Dependent Random Processes by : Emmanuel Rio

Download or read book Asymptotic Theory of Weakly Dependent Random Processes written by Emmanuel Rio and published by Springer. This book was released on 2017-04-13 with total page 204 pages. Available in PDF, EPUB and Kindle. Book excerpt: Ces notes sont consacrées aux inégalités et aux théorèmes limites classiques pour les suites de variables aléatoires absolument régulières ou fortement mélangeantes au sens de Rosenblatt. Le but poursuivi est de donner des outils techniques pour l'étude des processus faiblement dépendants aux statisticiens ou aux probabilistes travaillant sur ces processus.

Asymptotic Methods in Stochastics

Author : Lajos Horvath and Barbara Szyszkowicz
Publisher : American Mathematical Soc.
ISBN 13 : 9780821871485
Total Pages : 552 pages
Book Rating : 4.8/5 (714 download)

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Book Synopsis Asymptotic Methods in Stochastics by : Lajos Horvath and Barbara Szyszkowicz

Download or read book Asymptotic Methods in Stochastics written by Lajos Horvath and Barbara Szyszkowicz and published by American Mathematical Soc.. This book was released on with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt: Honoring over forty years of Miklos Csorgo's work in probability and statistics, this title shows the state of the research. This book covers such topics as: path properties of stochastic processes, weak convergence of random size sums, almost sure stability of weighted maxima, and procedures for detecting changes in statistical models.

Change Point Analysis for Time Series

Author : Lajos Horváth
Publisher : Springer Nature
ISBN 13 : 3031516095
Total Pages : 552 pages
Book Rating : 4.0/5 (315 download)

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Book Synopsis Change Point Analysis for Time Series by : Lajos Horváth

Download or read book Change Point Analysis for Time Series written by Lajos Horváth and published by Springer Nature. This book was released on with total page 552 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Extreme Value Theory

Author : Laurens de Haan
Publisher : Springer Science & Business Media
ISBN 13 : 0387344713
Total Pages : 421 pages
Book Rating : 4.3/5 (873 download)

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Book Synopsis Extreme Value Theory by : Laurens de Haan

Download or read book Extreme Value Theory written by Laurens de Haan and published by Springer Science & Business Media. This book was released on 2007-12-09 with total page 421 pages. Available in PDF, EPUB and Kindle. Book excerpt: Focuses on theoretical results along with applications All the main topics covering the heart of the subject are introduced to the reader in a systematic fashion Concentration is on the probabilistic and statistical aspects of extreme values Excellent introduction to extreme value theory at the graduate level, requiring only some mathematical maturity

Statistical Analysis of Extreme Values

Author : Rolf-Dieter Reiss
Publisher : Springer Science & Business Media
ISBN 13 : 3764372303
Total Pages : 516 pages
Book Rating : 4.7/5 (643 download)

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Book Synopsis Statistical Analysis of Extreme Values by : Rolf-Dieter Reiss

Download or read book Statistical Analysis of Extreme Values written by Rolf-Dieter Reiss and published by Springer Science & Business Media. This book was released on 2007-06-21 with total page 516 pages. Available in PDF, EPUB and Kindle. Book excerpt: This is a self-contained introduction to parametric modeling, exploratory analysis and statistical interference for extreme values, as used in disciplines from hydrology to finance to environmental science. Updated and expanded by 100 pages.

Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association

Author : Martin Ruppert
Publisher : BoD – Books on Demand
ISBN 13 : 3844101209
Total Pages : 178 pages
Book Rating : 4.8/5 (441 download)

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Book Synopsis Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association by : Martin Ruppert

Download or read book Contributions to Static and Time-varying Copula-based Modeling of Multivariate Association written by Martin Ruppert and published by BoD – Books on Demand. This book was released on 2012 with total page 178 pages. Available in PDF, EPUB and Kindle. Book excerpt: Putting a particular emphasis on nonparametric methods that rely on modern empirical process techniques, the author contributes to the theory of static and time-varying stochastic models for multivariate association based on the concept of copulas. These functions enable a profound understanding of multivariate association, which is pivotal for judging whether a large set of risky assets entails diversification effects or aggravates risk from an entrepreneurial point of view. Since serial dependence is a stylized fact of financial time series, an asymptotic theory for estimating the structure of association in this context is developed under weak assumptions. A new measure of multivariate association, based on a notion of distance to stochastic independence, is introduced. Asymptotic results as well as hypothesis tests are established which are directly applicable to important types of multivariate financial time series. To ensure that risk management properly captures the current structure of association, it is crucial to assess the constancy of the structure. Therefore, nonparametric tests for a constant copula with either a specified or unspecified change point (candidate) are derived. The thesis concludes with a study of characterizations of association between non-continuous random variables.

Weak Dependence: With Examples and Applications

Author : Jérome Dedecker
Publisher : Springer Science & Business Media
ISBN 13 : 038769952X
Total Pages : 326 pages
Book Rating : 4.3/5 (876 download)

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Book Synopsis Weak Dependence: With Examples and Applications by : Jérome Dedecker

Download or read book Weak Dependence: With Examples and Applications written by Jérome Dedecker and published by Springer Science & Business Media. This book was released on 2007-07-29 with total page 326 pages. Available in PDF, EPUB and Kindle. Book excerpt: This book develops Doukhan/Louhichi's 1999 idea to measure asymptotic independence of a random process. The authors, who helped develop this theory, propose examples of models fitting such conditions: stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory. Applications are still needed to develop a method of analysis for nonlinear times series, and this book provides a strong basis for additional studies.