Weak dependence. With examples and applications.
Research exposition (monographs, survey articles) pertaining to probability theory (60-02) Central limit and other weak theorems (60F05) Strong limit theorems (60F15) Functional limit theorems; invariance principles (60F17) Stochastic processes (60G99) Research exposition (monographs, survey articles) pertaining to statistics (62-02) Measures of association (correlation, canonical correlation, etc.) (62H20)
While for many years researchers were mostly working with independent samples, recent developments of methods for dependent data have moved the interest to such more complicated structures. There are numerous examples where dependent data occur. This leads to the problem of developing asymptotic results and limit theorems for sequences of dependent random variables. \textit{P. Doukhan}, and \textit{S. Louhichi} [``A new weak dependence condition and applications to moment inequalities. Stochastic Processes Appl. 84, No. 2, 313--342 (1999; Zbl 0996.60020)] proposed a new concept of weak dependence which is more general than mixing and is suitable for almost all classes of processes of interest in statistics. Weak dependence refers to how a stochastic relationship between random variables decreases as the separation between them increases. The idea relates to measure asymptotic independence of a random process. This book continues this idea and provides a detailed description of the notion of weak dependence as well as properties and applications. As the authors say in the Preface, the book is organized in four parts: definitions and models, tools, limit theorems and applications. A brief introduction to the concept can be found in Chapter 1. Different classes of weakly dependent sequences are described in Chapter 2. Chapter 3 contains examples of random sequences with weak dependence, including Bernoulli shifts, Markov sequences and several time series processes. Chapters 4 and 5 are devoted to develop theory to base the forthcoming results in the later chapters and especially inequalities and moment bounds. Chapters 6 through 9 are devoted to developing limit theorems and asymptotic results, like strong laws of large numbers (Chapter 6), central limit theorems (Chapter 7), functional central limit theorems (Chapter 8), and laws of iterated logarithms (Chapter 9). Chapters 10 to 13 present interesting applications like empirical processes, functional and spectral estimation, and econometric applications respectively. The applications also refer to practical statistical problems like nonparametric statistics, spectral analysis, econometrics and resampling, offering robustness against deviations from standard independence assumptions. The book ends up with a detailed bibliography including some early attempts to the topic. Overall the book is neatly written, however, it is quite dense and hard for researchers without strong background on the topic. The exposition is too technical in several points. Despite its complexity notations are very consistent and this helps the readers considerably. On the other hand, the book is very rich in its material as it contains earlier works on dependence and tries to mention and show a lot of applications of the theory. It also contains a large number of examples and expositions of the idea of weak dependence in models like stable Markov chains, dynamical systems or more complicated models, nonlinear, non-Markovian, and heteroskedastic models with infinite memory which provide good insight.
- Augmented GARCH sequences: Dependence structure and asymptotics
- An asymptotic theory for sample covariances of Bernoulli shifts
- Testing for changes in the covariance structure of linear processes
- Asymptotic results for the empirical process of stationary sequences
- A new weak dependence condition and applications to moment inequalities
- Simpler PAC-Bayesian bounds for hostile data
- Spatial risk measures and applications to max-stable processes
- A weighted estimator of conditional hazard rate with left-truncated and dependent data
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- A bound of the \(\beta\)-mixing coefficient for point processes in terms of their intensity functions
- Time-frequency analysis of locally stationary Hawkes processes
- Subsampling weakly dependent time series and application to extremes
- Rejoinder on: Subsampling weakly dependent time series and application to extremes
- Asymptotic behavior of optimal quantities in symmetric transshipment coalitions
- Tests of stochastic monotonicity with improved power
- Weak dependence beyond mixing and asymptotics for nonparametric regression
- Some recent theory for autoregressive count time series
- Rejoinder on: Some recent theory for autoregressive count time series
- Brownian limits, local limits and variance asymptotics for convex hulls in the ball
- Rosenthal-type inequalities for the maximum of partial sums of stationary processes and examples
- Asymptotic results for spatial causal ARMA models
- Sparsity considerations for dependent variables
- A moment inequality of the Marcinkiewicz-Zygmund type for some weakly dependent random fields
- Matrix factorization for multivariate time series analysis
- Recursive nonparametric regression estimation for dependent strong mixing functional data
- Comparing the marginal densities of two strictly stationary linear processes
- Correlation bounds, mixing and \(m\)-dependence under random time-varying network distances with an application to Cox-processes
- Convergence of the empirical two-sample \(U\)-statistics with \(\beta\)-mixing data
- A nonparametric estimation of the conditional ageing intensity function in censored data: a local linear approach
- CLT for single functional index quantile regression under dependence structure
- Finite sample properties of parametric MMD estimation: robustness to misspecification and dependence
- Nonasymptotic control of the MLE for misspecified nonparametric hidden Markov models
- Adaptive invariant density estimation for continuous-time mixing Markov processes under sup-norm risk
- Limit results for L^p functionals of weighted CUSUM processes
- Robbins-Monro algorithm with \(\psi\)-mixing random errors
- Estimation of time series models using residuals dependence measures
- Concentration inequalities for non-causal random fields
- Nonparametric regression for locally stationary random fields under stochastic sampling design
- Exponential inequalities for nonstationary Markov chains
- Nonconventional moderate deviations theorems and exponential concentration inequalities
- Testing for local covariate trend effects in volatility models
- High-dimensional VAR with low-rank transition
- Spectral estimation for non-linear long range dependent discrete time trawl processes
- Coupling and perturbation techniques for categorical time series
- Uniform rate of strong consistency for a smooth kernel estimator of the conditional mode for censored time series
- Multivariate count autoregression
- Sequential monitoring for changes from stationarity to mild non-stationarity
- Recursive kernel density estimation and optimal bandwidth selection under \(\alpha\): mixing data
- Concentration of weakly dependent Banach-valued sums and applications to statistical learning methods
- Placebo inference on treatment effects when the number of clusters is small
- The deficit on each trade in a Vickrey double auction is at least as large as the Walrasian price gap
- The functional central limit theorem for the multivariate MS-ARMA-GARCH model
- Data driven smooth test of comparison for dependent sequences
- Covariance matrix estimation and linear process bootstrap for multivariate time series of possibly increasing dimension
- A note on the asymptotic distribution of lasso estimator for correlated data
- Pointwise adaptive estimation of the marginal density of a weakly dependent process
- General theorems on large deviations for random vectors
- On weak invariance principles for partial sums
- Root-\(n\) consistent estimation of the marginal density in semiparametric autoregressive time series models
- Quantitative bounds for concentration-of-measure inequalities and empirical regression: the independent case
- Asymptotic behavior of central order statistics from stationary processes
- Statistical inference of spectral estimation for continuous-time MA processes with finite second moments
- Komlós-Major-Tusnády approximation under dependence
- Extensions of some classical methods in change point analysis
- A kernel mode estimate under random left truncation and time series model: asymptotic normality
- Fréchet differentiability in statistical inference for time series
- Variance inequalities for quadratic forms with applications
- Kernel estimators of mode under -weak dependence
- Tail and quantile estimation for real-valued \(\beta\)-mixing spatial data
- Weakly dependent stochastic sequences and their applications. Vol. XII: Random sums, extremes and sequential analysis
- Asymptotic Results for an M-Estimator of the Regression Function for Quasi-Associated Processes
- Structural breaks in time series
- Central limit theorem for the kernel estimator of the regression function for censored time series
- Weak dependence of point processes and application to second-order statistics
- Asymptotic properties of the CUSUM estimator for the time of change in linear panel data models
- Asymptotic results of a nonparametric conditional cumulative distribution estimator in the single functional index modeling for time series data with applications
- Managing local dependencies in limit theorems for sums of weakly dependent sequences
- Adaptive density estimation under weak dependence
- Central limit theorem for sampled sums of dependent random variables
- Self-normalized Cramér-type moderate deviations under dependence
- scientific article; zbMATH DE number 2128758 (Why is no real title available?)
- Invariance principles for self-similar set-indexed random fields
- A large deviations approach to limit theory for heavy-tailed time series
- Remarks on asymptotic independence
- Recent results on weak dependence for causal sequences. Statistical applications to dynamical systems.
- Mixed-norm spaces and prediction of \(\mathrm{S}\alpha\mathrm{S}\) moving averages
- Discrete-time risk models on time series for count random variables
- Strong approximation results for the empirical process of stationary sequences
- Parametric estimation of hidden stochastic model by contrast minimization and deconvolution
- Approximating class approach for empirical processes of dependent sequences indexed by functions
- Functional central limit theorems for augmented GARCH(p,q) and FIGARCH processes
- Recursive kernel estimation of the density under -weak dependence
- On binary and categorical time series models with feedback
- scientific article; zbMATH DE number 1294014 (Why is no real title available?)
- Adjustment coefficient for risk processes in some dependent contexts
- On weak dependence conditions for Poisson autoregressions
- scientific article; zbMATH DE number 1034222 (Why is no real title available?)
- Relative stability in strictly stationary random sequences
- scientific article; zbMATH DE number 1110433 (Why is no real title available?)
- scientific article; zbMATH DE number 1944305 (Why is no real title available?)
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