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Dependent Data in Economic and Financial Problems
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SYSNO ASEP 0364654 Document Type C - Proceedings Paper (int. conf.) R&D Document Type Conference Paper Title Dependent Data in Economic and Financial Problems Author(s) Kaňková, Vlasta (UTIA-B) RID Source Title Proceedings of the 29th International Conference Mathematical Methods in Economics 2011, 1 - Part I. - Praha : Professional Publishing, Mikulova 1572/13, 149 00 Praha 4, Czech Republic, 2011 / Dlouhý Martin ; Skočdopolová Veronika - ISBN 978-80-7431-058-4 Pages s. 327-332 Number of pages 6 s. Action 29th International Conference Mathematical Methods in Economics 2011 Event date 06.09.2011-09.09.2011 VEvent location Janská Dolina Country SK - Slovakia Event type EUR Language eng - English Country CZ - Czech Republic 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 R&D Projects GAP402/10/1610 GA ČR - Czech Science Foundation (CSF) GAP402/11/0150 GA ČR - Czech Science Foundation (CSF) GAP402/10/0956 GA ČR - Czech Science Foundation (CSF) CEZ AV0Z10750506 - UTIA-B (2005-2011) UT WOS 000309074600055 Annotation 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. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201. Year of Publishing 2012
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