Dependence in Probability and Statistics: 187 - Brossura

Bertail, Patrice; Soulier, Philippe; Doukhan, Paul

Brossura

ISBN 10: 0387317414 ISBN 13: 9780387317410

Casa editrice: Springer, 2008

Riassunto

This book was planned during a conference, entitled “STATDEP2005: Statistics for dependent data”, organized by the Statistical Laboratory of the CREST (Research Center in Economy and Statistics), in Paris/Malako?, under the auspices of the French State Statistical Institute, INSEE.

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This book gives a detailed account of some recent developments in the field of probability and statistics for dependent data. The book covers a wide range of topics from Markov chain theory and weak dependence with an emphasis on some recent developments on dynamical systems, to strong dependence in times series and random fields. A special section is devoted to statistical estimation problems and specific applications. The book is written as a succession of papers by some specialists of the field, alternating general surveys, mostly at a level accessible to graduate students in probability and statistics, and more general research papers mainly suitable to researchers in the field.

The first part of the book considers some recent developments on weak dependent time series, including some new results for Markov chains as well as some developments on new notions of weak dependence. This part also intends to fill a gap between the probability and statistical literature and the dynamical system literature. The second part presents some new results on strong dependence with a special emphasis on non-linear processes and random fields currently encountered in applications. Finally, in the last part, some general estimation problems are investigated, ranging from rate of convergence of maximum likelihood estimators to efficient estimation in parametric or non-parametric time series models, with an emphasis on applications with non-stationary data.

Patrice Bertail is researcher in statistics at CREST-ENSAE, Malakoff and Professor of Statistics at the University-Paris X. Paul Doukhan is researcher in statistics at CREST-ENSAE, Malakoff and Professor of Statistics at the University of Cergy-Pontoise. Philippe Soulier is Professor of Statistics at the University-Paris X.

Dettagli dell'edizione

• Editore: Springer
• Data di pubblicazione: 2008
• Lingua: Inglese
• ISBN 10: 0387317414
• ISBN 13: 9780387317410
• Rilegatura: Copertina flessibile
• Numero di pagine: 502
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