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Dependence in Probability and Statistics

  • Paul Doukhan
  • Gabriel Lang
  • Donatas Surgailis
  • Gilles Teyssière

Part of the Lecture Notes in Statistics book series (LNS, volume 200)

Table of contents

  1. Front Matter
    Pages i-xv
  2. István Berkes, Lajos Horváth, Johannes Schauer
    Pages 1-20
  3. Florin Avram, Nikolai Leonenko, Ludmila Sakhno
    Pages 59-70
  4. Vo V. Anh, Nikolai N. Leonenko, Narn-Rueih Shieh
    Pages 103-122
  5. Wei Biao Wu, Jan Mielniczuk
    Pages 123-142
  6. Patrick J. Farrell, Mohamedou Ould-Haye
    Pages 143-157
  7. Alexander Schmitz, Josef G. Steinebach
    Pages 159-174
  8. Olaf Kouamo, Eric Moulines, Francois Roueff
    Pages 175-205
  9. Back Matter
    Pages 206-208

About this book

Introduction

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.

Keywords

Estimator Measure STATISTICA bootstrap change-point detection linear regression long memory multifractality wavelets weak dependence

Editors and affiliations

  • Paul Doukhan
    • 1
  • Gabriel Lang
    • 2
  • Donatas Surgailis
    • 3
  • Gilles Teyssière
    • 4
  1. 1.UFR Sciences-TechniquesPontoiseFrance
  2. 2., UMR MIA 518INRA AgroParisTechParisFrance
  3. 3.Stochastic Processes DepartmentVilniusLithuania
  4. 4.Aarhus University, School of EconomicsCREATESAarhus CDenmark

Bibliographic information

  • DOI https://doi.org/10.1007/978-3-642-14104-1
  • Copyright Information Springer-Verlag Berlin Heidelberg 2010
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Mathematics and Statistics
  • Print ISBN 978-3-642-14103-4
  • Online ISBN 978-3-642-14104-1
  • Series Print ISSN 0930-0325
  • Buy this book on publisher's site
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