Paul Doukhan, Univ. Cergy-Pontoise: Weak dependence and applications (Oberseminar Mathematische Stochastik)
Mittwoch, 15.05.2019 17:00 im Raum SRZ 117
Stochastic dependence appears in most of probabilistic modelling issues. We aim at providing a simple, fruitful, and comprehensive way to define it. Several attempts to model time dependence led researchers to define strong mixing measures; see Rosenblatt (1956) who straightened those measure-theoretic notions of ergodic theory, allowing to develop a convenient limit theory for statistical issues of time series modelling. Anyway, very early, Andrews and even Rosenblatt (1984) gave simple counter-examples to this notion. With Sana Louhichi (1999), we introduced a tractable way to define dependence, together more easy to prove and handle more models. One aim of this talk will be to illustrate with models several applications of those notions.