Počet záznamů: 1

Dependent Data in Economic and Financial Problems

  1. 1.
    0364654 - UTIA-B 2012 RIV CZ eng C - Konferenční příspěvek (zahraniční konf.)
    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]
    Grant CEP: GA ČR GAP402/10/1610; GA ČR GAP402/11/0150; GA ČR GAP402/10/0956
    Výzkumný záměr: CEZ:AV0Z10750506
    Klíčová slova: Stochastic programming * Wasserstein metric * L_1norm * Empirical estimates * One-stage problems * Multistage problems * Independent samples * m-dependent samples * Markov dependence * Phi-mixing random samples
    Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum
    http://library.utia.cas.cz/separaty/2011/E/kankova-dependent data in economic and financial problems.pdf 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.
    Trvalý link: http://hdl.handle.net/11104/0006558