Weak Dependence: With Examples and Applications

Description

Publisher: Springer
Language: English
ISBN: 0387699511
Paperback: 322 pages
Data: Jul 2007
Format: PDF
Description: This monograph is aimed at developing Doukhan/Louhichi’s (1999) idea to measure asymptotic independence of a random process. The authors propose various examples of models fitting such conditions such as stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory. Most of the commonly used stationary models fit their conditions. The simplicity of the conditions is also their strength.

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