James Davidson

Stochastic Limit Theory

An Introduction for Econometricians

• Broschiertes Buch

Produktbeschreibung

Stochastic Limit Theory has become a standard reference in its field. This new edition offers updated and improved results and an extended range of topics. It works both as a textbook and as an account of recent work in a field of particular interest to econometricians.

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Produktdetails

• Verlag: Hurst & Co.
• 2nd edition
• Seitenzahl: 816
• Erscheinungstermin: 4. Februar 2022
• Englisch
• Abmessung: 231mm x 155mm x 43mm
• Gewicht: 1202g
• ISBN-13: 9780192844507
• ISBN-10: 0192844504
• Artikelnr.: 62226335

Autorenporträt

James Davidson is Emeritus Professor of Econometrics at the University of Exeter.

Inhaltsangabe

I Mathematics
1: Sets and Numbers
2: Limits, Sequences, and Sums
3: Measure
4: Integration
5: Metric Spaces
6: Topology
II Probability
7: Probability Spaces
8: Random Variables
9: Expectations
10: Conditioning
11: Characteristic Functions
III Theory of Stochastic Processes
12: Stochastic Processes
13: Time Series Models
14: Dependence
15: Mixing
16: Martingales
17: Mixingales
18: Near-Epoch Dependence
IV The Law of Large Numbers
19: Stochastic Convergence
20: Convergence in Lp Norm
21: The Strong Law of Large Numbers
22: Uniform Stochastic Convergence
V The Central Limit Theorem
23: Weak Convergence of Distributions
24: The Classical Central Limit Theorem
25: CLTs for Dependent Processes
26: Extensions and Complement
VI The Functional Central Limit Theorem
27: Measures on Metric Spaces
28: Stochastic Processes in Continuous Time
29: Weak Convergence
30: Càdlàg Functions
31: FCLTs for Dependent Variables
32: Weak Convergence to Stochastic Integrals