Stochastic limit theory : an introduction for econometricians /
"Econometricians, while using mathematical theory such as probability and limit theory at a demanding level, often do not have the advantage of a strong mathematical training. Using maths texts requires econometricians to ignore much material, and decipher unfamiliar notation, before reaching r...
Guardado en:
| Autor principal: | |
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| Formato: | Libro |
| Lenguaje: | Inglés |
| Publicado: |
Oxford ; New York :
Oxford University Press,
1994.
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| Colección: | Advanced texts in econometrics
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| Materias: | |
| Aporte de: | Registro referencial: Solicitar el recurso aquí |
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| 020 | |a 9780198774020 | ||
| 020 | |a 0198774036 |q (pbk.) | ||
| 020 | |a 9780198774037 |q (pbk.) | ||
| 035 | |a (OCoLC)31267394 | ||
| 035 | |a (OCoLC)ocm31267394 | ||
| 040 | |a UkCoU |c DLC |d EUE |d UKM |d U@S | ||
| 042 | |a lccopycat | ||
| 049 | |a U@SA | ||
| 050 | 0 | 0 | |a HB139 |b .D367 1994 |
| 082 | 0 | 0 | |a 330/.01/51 |2 20 |
| 100 | 1 | |a Davidson, James, |d 1944- | |
| 245 | 1 | 0 | |a Stochastic limit theory : |b an introduction for econometricians / |c James Davidson. |
| 260 | |a Oxford ; |a New York : |b Oxford University Press, |c 1994. | ||
| 300 | |a xxii, 539 p. : |b il. ; |c 25 cm. | ||
| 490 | 1 | |a Advanced texts in econometrics | |
| 504 | |a Incluye referencias bibliográficas (p. 519-526) e índice. | ||
| 505 | 0 | |a Part I. Mathematics: 1. Sets and numbers -- 2. Limits and continuity -- 3. Measure -- 4. Integration -- 5. Metric spaces -- 6. Topology -- Part II. Probability: 7. Probability spaces -- 8. Random variables -- 9. Expectations -- 10. Conditioning -- 11. Characteristic functions -- Part III. Theory of stochastic processes: 12. Stochastic processes -- 13. Dependence -- 14. Mixing -- 15. Martingales -- 16. Mixingales -- 17. Near-epoch dependence -- Part IV. The law of large numbers: 18. Stochastic convergence -- 19. Convergence in Lp-Norm -- 20. The strong law of large numbers -- 21. Uniform stochastic convergence -- Part V. The central limit theorm: 22. Weak convergence of distributions -- 23. The classical central limit theorem -- 24. CLTs for dependent processes -- 25. Some extensions -- Part VI. The functional central limit theorem: 26. Weak convergence in metric spaces -- 27. Weak convergence in a function space -- 28. Cadlag functions -- 29. FCLTs for dependent variables -- 30. Weak convergence to stochastic integrals. | |
| 520 | |a "Econometricians, while using mathematical theory such as probability and limit theory at a demanding level, often do not have the advantage of a strong mathematical training. Using maths texts requires econometricians to ignore much material, and decipher unfamiliar notation, before reaching results useful and comprehensible to them. James Davidson has succeeded in clearly and rigorously explaining this mathematics to the econometricians who are increasingly using it. This book will serve as a technically self-contained handbook for advanced graduate students of econometrics, doctoral students, and academic or business econometricians who wish to improve their command of the mathematical processes they use. A wide-ranging coverage of mathematics combines the latest work with a lucid exposition of basic theories. The text covers statistical methods including probability theory, stochastic processes and their dependence structure, central limit theorems, and asymptotic distribution theory. It provides results directly relevant to econometricians, and indicates further reading. Davidson has included new material and results in central limit theorems from his research. Thus the book will appeal both as a survey and a research monograph." --Descripción del editor. | ||
| 650 | 0 | |a Econometrics. | |
| 650 | 0 | |a Limit theorems (Probability theory) | |
| 650 | 0 | |a Stochastic processes. | |
| 650 | 7 | |a Econometría. |2 UDESA | |
| 650 | 7 | |a Teoremas límites (Teoría de la probabilidad) |2 UDESA | |
| 650 | 7 | |a Procesos estocásticos. |2 UDESA | |
| 830 | 0 | |a Advanced texts in econometrics | |