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


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