Weak dependence, models and some applications

被引:10
|
作者
Doukhan, Paul [1 ]
Mayo, Nathanael [2 ]
Truquet, Lionel [3 ]
机构
[1] Univ Cergy Pontoise, UMR Anal Geometrie & Modelisat 8088, F-95302 Cergy Pontoise, France
[2] Exane BNP Paribas & Samos Paris 1, Paris, France
[3] LS CREST & Samos Paris 1, Paris, France
关键词
Weak dependence; Asymptotic properties of estimators; Random fields; Functional limit theorems; Invariance principles; CENTRAL-LIMIT-THEOREM;
D O I
10.1007/s00184-008-0216-1
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
The paper is devoted to recall weak dependence conditions from Dedecker et al. (Weak dependence, examples and applications. Lecture Notes in Statistics, vol 190, 2007)'s monograph; the main basic results are recalled here and we go further in some new applications. We develop here several models of weakly dependent processes and random fields. Among them an ARCH(az) model is considered with statistical applications to ordinary least squares. A last part aims at proving new asymptotic results for weakly dependent random fields. Such applications are indeed the main proof of the interest of this theoretical notion which measures the asymptotic decorrelation of a process.
引用
收藏
页码:199 / 225
页数:27
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