Ergodicity and mixing bounds for the Fisher-Snedecor diffusion (Q2435244)

The authors consider the Fisher-Snedecor diffusion processes, which form a class of heavy-tailed Kolmogorov-Pearson diffusions. They provide quantitative bounds for the convergence of finite-dimensional distributions to the invariant distribution \(\pi\) of the diffusion. A law of large numbers and a central limit theorem are also proved for the discrete and continuous-time averages of finite-dimensional functions of the process, and a weak convergence result to Brownian motion is derived. As an application, consistent estimators for the coefficients of the Fisher-Snedecor differential equations are constructed, and their asymptotic normality is proved.