Part I Weak dependence and related concepts
Regeneration-based statistics for Harris recurrent Markov
chains
Patrice Bertail, St´ephan Cl´emen¸con . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 3
Subgeometric ergodicity of Markov chains
Randal Douc, Eric Moulines, Philippe Soulier . . . . . . . . . . . . . . . . . . . . . . . 55
Limit Theorems for Dependent U-statistics
Herold Dehling . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 65
Recent results on weak dependence for causal sequences.
Statistical applications to dynamical systems.
Cl´ementine Prieur . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 87
Parametrized Kantorovich-Rubinˇstein theorem and
application to the coupling of random variables.
J´erˆome Dedecker, Cl´ementine Prieur, Paul Raynaud De Fitte . . . . . . . . . 105
Exponential inequalities and estimation of conditional
probabilities
V. Maume-Deschamps . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 123
Martingale approximation of non adapted stochastic processes
with nonlinear growth of variance
Dalibor Voln´y . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 141
Part II Strong dependence
Almost periodically correlated processes with long memory
Anne Philippe, Donatas Surgailis, Marie-Claude Viano . . . . . . . . . . . . . . . 159
Long memory random fields
Fr´ed´eric Lavancier . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 195
Long Memory in Nonlinear Processes
Rohit Deo, Mengchen Hsieh, Clifford M. Hurvich, Philippe Soulier . . . . . 221
A LARCH(∞) Vector Valued Process
Paul Doukhan, Gilles Teyssi`ere, Pablo Winant . . . . . . . . . . . . . . . . . . . . . . . 245
On a Szeg¨o type limit theorem and the asymptotic theory of
random sums, integrals and quadratic forms
Florin Avram, Murad S. Taqqu . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 259
Aggregation of Doubly Stochastic Interactive Gaussian
Processes and Toeplitz forms of U-Statistics.
Didier Dacunha-Castelle, Lisandro Ferm´ın . . . . . . . . . . . . . . . . . . . . . . . . . . 287
Part III Statistical Estimation and Applications
On Efficient Inference in GARCH Processes
Christian Francq, Jean-Michel Zako¨ıan . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 305
Almost sure rate of convergence of maximum likelihood
estimators for multidimensional diffusions
Dasha Loukianova, Oleg Loukianov . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 329
Convergence rates for density estimators of weakly dependent
time series
Nicolas Ragache, Olivier Wintenberger . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 349
Variograms for spatial max-stable random fields
Dan Cooley, Philippe Naveau, Paul Poncet . . . . . . . . . . . . . . . . . . . . . . . . . . 373
A non-stationary paradigm for the dynamics of multivariate
financial returns
Stefano Herzel, C˘at˘alin St˘aric˘a, Reha T¨ut¨unc¨u . . . . . . . . . . . . . . . . . . . . . . 391
Multivariate Non-Linear Regression with Applications
Tata Subba Rao and Gyorgy Terdik . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 431
Nonparametric estimator of a quantile function for the
probability of event with repeated data
Claire Pin¸con, Odile Pons . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . 475
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