Weak Dependence: With Examples and Applications (Repost)
Jérome Dedecker, Paul Doukhan, Gabriel Lang, "Weak Dependence: With Examples and Applications"
2007 | pages: 323 | ISBN: 0387699511 | PDF | 2,2 mb
2007 | pages: 323 | ISBN: 0387699511 | PDF | 2,2 mb
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.
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