Bibliography

Conference Paper (international conference)

Dependent Data in Economic and Financial Problems

: Proceedings of the 29th International Conference Mathematical Methods in Economics 2011, p. 327-332 , Eds: Dlouhý Martin, Skočdopolová Veronika

: 29th International Conference Mathematical Methods in Economics 2011, (Janská Dolina, SK, 06.09.2011-09.09.2011)

: CEZ:AV0Z10750506

: GAP402/10/1610, GA ČR, GAP402/11/0150, GA ČR, GAP402/10/0956, GA ČR

: Stochastic programming, Wasserstein metric, L_1norm, Empirical estimates, One-stage problems, Multistage problems, Independent samples, m-dependent samples, Markov dependence, Phi-mixing random samples

: http://library.utia.cas.cz/separaty/2011/E/kankova-dependent data in economic and financial problems.pdf

(eng): 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.

: BB