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Dependent Data in Economic and Financial Problems
- 1.0364654 - ÚTIA 2012 RIV CZ eng C - Conference Paper (international conference)
Kaňková, Vlasta
Dependent Data in Economic and Financial Problems.
Proceedings of the 29th International Conference Mathematical Methods in Economics 2011. Vol. 1. Praha: Professional Publishing, Mikulova 1572/13, 149 00 Praha 4, Czech Republic, 2011 - (Dlouhý, M.; Skočdopolová, V.), s. 327-332. ISBN 978-80-7431-058-4.
[29th International Conference Mathematical Methods in Economics 2011. Janská Dolina (SK), 06.09.2011-09.09.2011]
R&D Projects: GA ČR GAP402/10/1610; GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
Institutional research plan: CEZ:AV0Z10750506
Keywords : Stochastic programming * Wasserstein metric * L_1norm * Empirical estimates * One-stage problems * Multistage problems * Independent samples * m-dependent samples * Markov dependence * Phi-mixing random samples
Subject RIV: BB - Applied Statistics, Operational Research
http://library.utia.cas.cz/separaty/2011/E/kankova-dependent data in economic and financial problems.pdf
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.
Permanent Link: http://hdl.handle.net/11104/0006558
Number of the records: 1