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National Repository of Grey Literature 2 records found  Search took 0.01 seconds. 
Dependent Data in Economic and Financial Problems
 Kaňková, Vlasta
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.
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Ekonomické procesy a empirická data
 Kaňková, Vlasta
Optimizatiom problems depending on a completely unknown probability measure are considered. In particular, there are considered optimization problems with objective functions in a form mathematical expectation of functions depednding on a random parameter. In such situations, usually, an empirical measure replaced the theoretical one. The aim of the paper is to discuss corresponding estimates of the optimal value and optimal solution based on the independent as well as on some types od dependent data.
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