Empirical Process Techniques for Dependent Data - Hardcover

Sørensen, Michael

Hardcover

ISBN 10: 0817642013 ISBN 13: 9780817642013

Publisher: Birkhäuser, 2002

Synopsis

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,

About this title

Review

"The book is an outgrowth of the workshop held in November 2000 at the University of Copenhagen.  It opens by an extensive tutorial covering the topic from the early roots up to recent developments and is accompanied by a vast bibliography of newly 150 items...

The book is the first comprehensive treatment of this topic, perhaps because only the present-day computers are able to meet the enormous requirements for high speed and large memory necessary for the application of statistical techniques to dependent data. It will be suitable for classroom use as well as for specialists in probability and statistics and for practitioners in the above mentioned branches of dependent data applications." ---APPLICATIONS OF MATHEMATICS

Edition details

• Publisher: Birkhäuser
• Publication date: 2002
• ISBN 10: 0817642013
• ISBN 13: 9780817642013
• Binding: Hardcover
• Language: English
• Number of pages: 504
• Editor: Dehling Herold, Mikosch Thomas, Sörensen Michael