Gilles Teyssière – författare

When applying the statistical theory of long range dependent (LRD) processes to economics, the strong complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. In order to get a better understanding of the behaviour of some economic variables, the book assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; models from economic theory providing plausible micro foundations for the occurence of long memory in economics. Each chapter of the book will give a comprehensive survey of the state of the art and the directions that future developments are likely to take. Taken as a whole the book provides an overview of LRD processes which is accessible to economists, econometricians and statisticians.

A comprehensive survey on current and future developments in long memory analysis. The book assembles three different strands of long memory analysis: statistical literature - including tests - on the properties of LRD processes; mathematical literature on stochastic processes; and models from economic theory providing. The text is aimed at economists, econometricians, and statisticians interested in the study of long memory in economics.

When applying the statistical theory of long range dependent (LRD) processes to economics, the strong complexity of macroeconomic and financial variables, compared to standard LRD processes, becomes apparent. In order to get a better understanding of the behaviour of some economic variables, the book assembles three different strands of long memory analysis: statistical literature on the properties of, and tests for, LRD processes; mathematical literature on the stochastic processes involved; models from economic theory providing plausible micro foundations for the occurence of long memory in economics. Each chapter of the book will give a comprehensive survey of the state of the art and the directions that future developments are likely to take. Taken as a whole the book provides an overview of LRD processes which is accessible to economists, econometricians and statisticians.

This volume contains several contributions on the general theme of dependence for several classes of stochastic processes, andits implicationson asymptoticproperties of various statistics and on statistical inference issues in statistics and econometrics. The chapter by Berkes, Horvath and Schauer is a survey on their recent results on bootstrap and permutation statistics when the negligibility condition of classical central limit theory is not satis ed. These results are of interest for describing the asymptotic properties of bootstrap and permutation statistics in case of in nite va- ances, and for applications to statistical inference, e.g., the change-point problem. The paper by Stoev reviews some recent results by the author on ergodicity of max-stable processes. Max-stable processes play a central role in the modeling of extreme value phenomena and appear as limits of component-wise maxima. At the presenttime,arathercompleteandinterestingpictureofthedependencestructureof max-stable processes has emerged,involvingspectral functions, extremalstochastic integrals, mixed moving maxima, and other analytic and probabilistic tools.For statistical applications, the problem of ergodicity or non-ergodicity is of primary importance.