Weak Dependence: With Examples and Applications
- ISBN-10
- 038769952X
- ISBN-13
- 9780387699523
- Category
- Mathematics
- Pages
- 322
- Language
- English
- Published
- 2007-07-29
- Publisher
- Springer Science & Business Media
- Authors
- Paul Doukhan, Jérome Dedecker, Gabriel Lang
Description
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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