Original title:
Dependent Data in Economic and Financial Problems
Authors:
Kaňková, Vlasta
Document type: Papers
Conference/Event: 29th International Conference Mathematical Methods in Economics 2011, Janská Dolina (SK), 2011-09-06 / 2011-09-09
Year:
2011
Language:
eng
Abstract:
Optimization problems depending on a probability measure correspond to many economic and financial applications. The paper deals with the case when an empirical measure substitutes the theoretical one. Especially the paper deals with a convergence rate of the corresponding estimates. ``Classical" results for independent samples are recalled, situations in which the case of dependent sample can be (from the mathematical point of view) reduced to independent case are mentioned. A great attention is paid to weak dependent samples fulfilling the Phi-mixing condition.
Keywords:
Empirical estimates;
Independent samples;
L_1norm;
m-dependent samples;
Markov dependence;
Multistage problems;
One-stage problems;
Phi-mixing random samples;
Stochastic programming;
Wasserstein metric
Project no.: CEZ:AV0Z10750506 (
CEP),
GAP402/10/1610 (
CEP),
GAP402/11/0150 (
CEP),
GAP402/10/0956 (
CEP)
Funding provider: GA ČR, GA ČR, GA ČR
Host item entry: Proceedings of the 29th International Conference Mathematical Methods in Economics 2011, ISBN 978-80-7431-058-4
Institution: Institute of Information Theory and Automation AS ČR
(
web)
Document availability information: Fulltext is available at external website.
External URL: http://library.utia.cas.cz/separaty/2011/E/kankova-dependent data in economic and financial problems.pdf
Original record: http://hdl.handle.net/11104/0006558
Permalink: http://www.nusl.cz/ntk/nusl-71452
The record appears in these collections:
Research > Institutes ASCR > Institute of Information Theory and Automation
Conference materials > Papers