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Lecture Notes in Statistics

Dependence in Probability and Statistics

Editors: Doukhan, P., Lang, G., Surgailis, D., Teyssière, G. (Eds.)

  • This volume provides the reader with a comprehensive recent account on dependent stochastic processes
  • This book is a reference book for theoretical works, and provides some results that are of straight practical interest for the applied statistician/econometrician
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eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-642-14104-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-642-14103-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this book

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.

Table of contents (10 chapters)

  • Permutation and bootstrap statistics under infinite variance

    Berkes, István (et al.)

    Pages 1-20

  • Max–Stable Processes: Representations, Ergodic Properties and Statistical Applications

    Stoev, Stilian A.

    Pages 21-42

  • Best attainable rates of convergence for the estimation of the memory parameter

    Soulier, Philippe

    Pages 43-57

  • Harmonic analysis tools for statistical inference in the spectral domain

    Avram, Florin (et al.)

    Pages 59-70

  • On the impact of the number of vanishing moments on the dependence structures of compound Poisson motion and fractional Brownian motion in multifractal time

    Vedel, Béatrice (et al.)

    Pages 71-101

Buy this book

eBook $109.00
price for USA in USD (gross)
  • ISBN 978-3-642-14104-1
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
  • ISBN 978-3-642-14103-4
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Dependence in Probability and Statistics
Editors
  • Paul Doukhan
  • Gabriel Lang
  • Donatas Surgailis
  • Gilles Teyssière
Series Title
Lecture Notes in Statistics
Series Volume
200
Copyright
2010
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag GmbH Berlin Heidelberg
eBook ISBN
978-3-642-14104-1
DOI
10.1007/978-3-642-14104-1
Softcover ISBN
978-3-642-14103-4
Series ISSN
0930-0325
Edition Number
1
Number of Pages
XV, 205
Number of Illustrations
13 b/w illustrations
Topics