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

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Ergodicity and mixing bounds for the Fisher-Snedecor diffusion
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    Ergodicity and mixing bounds for the Fisher-Snedecor diffusion (English)
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    4 February 2014
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    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.
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    \(\beta\)-mixing coefficient
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    central limit theorem
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    convergence rate
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    Fisher-Snedecor diffusion
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    law of large numbers
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