Paul Doukhan, Univ. Cergy-Pontoise: Weak dependence and applications (Oberseminar Mathematische Stochastik)

Mittwoch, 15.05.2019 17:00 im Raum SRZ 117
Mathematik und Informatik

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.

Angelegt am Montag, 04.02.2019 13:50 von kollwit
Geändert am Dienstag, 23.04.2019 10:14 von kollwit
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