Inferring the mixing properties of an ergodic process

Khaleghi, Azadeh and Lugosi, Gabor (2021) Inferring the mixing properties of an ergodic process. arXiv.org.

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Abstract

We propose strongly consistent estimators of the ℓ1 norm of the sequence of α-mixing (respectively β-mixing) coefficients of a stationary ergodic process. We further provide strongly consistent estimators of individual α-mixing (respectively β-mixing) coefficients for a subclass of stationary α-mixing (respectively β-mixing) processes with summable sequences of mixing coefficients. The estimators are in turn used to develop strongly consistent goodness-of-fit hypothesis tests. In particular, we develop hypothesis tests to determine whether, under the same summability assumption, the α-mixing (respectively β-mixing) coefficients of a process are upper bounded by a given rate function. Moreover, given a sample generated by a (not necessarily mixing) stationary ergodic process, we provide a consistent test to discern the null hypothesis that the ℓ1 norm of the sequence α of α-mixing coefficients of the process is bounded by a given threshold γ∈[0,∞) from the alternative hypothesis that ‖α‖>γ. An analogous goodness-of-fit test is proposed for the ℓ1 norm of the sequence of β-mixing coefficients of a stationary ergodic process. Moreover, the procedure gives rise to an asymptotically consistent test for independence.

Item Type:
Journal Article
Journal or Publication Title:
arXiv.org
ID Code:
156159
Deposited By:
Deposited On:
15 Jun 2021 10:45
Refereed?:
No
Published?:
Published
Last Modified:
08 Oct 2021 08:10