Mixing: Properties and examples
The components of some random processes or fields are in a certain sense weakly dependent. One of the different ways to measure this kind of dependence is introducing the so-called mixing coefficients. In the first half of the present monograph the general properties of these coefficients are investigated. The coefficients in question are the strong mixing \((\alpha\)-mixing), the uniform mixing \((\varphi\)-mixing), the \(*\)-mixing \((\psi\)-mixing) and the maximal correlation \((\rho\)- mixing) coefficients and the coefficient of absolute regularity \((\beta\)- mixing coef.). The author gives a short description of the relations between these various coefficients and discusses the difference of mixing for processes and for fields. Then he develops the tools now available for working with mixing processes and fields. These are covariance inequalities, Berbee's and Bradley's reconstruction theorems, a Rosenthal-type moment inequality, variations of Hoeffding's and Bernstein's exponential inequalities and maximal inequalities. This part of the book is finished by quotation of some results concerning the central limit theorem (for instance dimension dependent convergence rates). Examples for mixing processes and fields are considered in the second half of the monograph. For discrete Gaussian fields, Gibbs fields, linear fields and Markov chains with general state space the author gives conditions implying convergence of the mixing coefficients at fixed (e.g. geometric) rates. Various models of auto-regressive sequences are treated as special cases of Markov chains. For time-continuous Markov processes, mixing properties are deduced by considering the infinitesimal operators of the processes. Finally the author introduces the concept of hypermixing originating from large deviation theory. In this context also the notions of hyper- and ultracontractivity of Markov semigroups are discussed. The book represents an overview of the theory of mixing processes and fields which seems to be useful for researchers. In this respect it is a continuation and supplement of \textit{E. Eberlein} and \textit{M. S. Taqqu} (eds.) [Dependence in probability and statistics (Prog. Prob. Stat. 11, Birkhäuser, Boston, 1986)]. A lot of the results is proved or the proofs are sketched. Concerning linear fields, in Section 2.3 the proof of the Theorems 1 and 3 which generalize considerably a result of \textit{V. V. Gorodetskij} [Theory Probab. Appl. 22(1977), 411-413 (1978); translation from Teor. Veroyatn. Primen. 22, 421-423 (1977; Zbl 0377.60046)] does not seem to be complete. Detailed references are given for all treated and even some omitted subjects.
- Nonparametric regression estimation with general parametric error covariance
- Bootstrap inference in local polynomial regression of time series
- Inference for the limiting cluster size distribution of extreme values
- A generalization of Hoeffding's lemma, and a new class of covariance inequalities
- Learning near-optimal policies with Bellman-residual minimization based fitted policy iteration and a single sample path
- A Berry-Esseen theorem for sample quantiles under weak dependence
- A Berry-Esseen type bound in kernel density estimation for strong mixing censored samples
- Sharp error terms for return time statistics under mixing conditions
- Laplace approximation for stochastic line integrals
- Adaptive density deconvolution with dependent inputs
- Plug-in bandwidth selection in kernel hazard estimation from dependent data
- Regular variation and related results for the multivariate GARCH(p,q) model with constant conditional correlations
- Neural networks for bandwidth selection in local linear regression of time series
- On the asymptotical normality of statistical solutions for harmonic crystals in half-space
- Statistical inference for reciprocal gamma diffusion process
- Nearest neighbor conditional estimation for Harris recurrent Markov chains
- Central limit theorem and the bootstrap for \(U\)-statistics of strongly mixing data
- Empirical likelihood estimation of discretely sampled processes of OU type
- Subspace estimation and prediction methods for hidden Markov models
- Empirical distributions in marked point processes
- Mixing coefficient, generalized maximal correlation coefficients, and weakly positive measures
- Detection of multiple changes in a sequence of dependent variables
- Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables
- Spectral estimation of Hawkes processes from count data
- Rosenthal's inequality for LPQD sequences
- Least-square estimation for regression on random designs for absolutely regular observations
- Testing linearity for NARX models
- Asymptotic normality of nonparametric estimators under -mixing condition
- On the distribution of tail array sums for strongly mixing stationary sequences
- The asymptotic distribution of nonparametric estimates of the Lyapunov exponent for stochastic time series
- On the bootstrap and the moving block bootstrap for the maximum of a stationary process
- A nonparametric goodness-of-fit test for a class of parametric autoregressive models
- A bootstrap approximation to the joint distribution of sum and maximum of a stationary sequence
- Functional estimation for time series: Uniform convergence properties
- Longitudinal data with nonstationary errors: A nonparametric three-stage approach
- Estimation and test of linearity for a class of additive nonlinear models
- A note on mixing properties of certain associated processes
- Comparison of bandwidth selectors in nonparametric regression under dependence
- Tail risk inference via expectiles in heavy-tailed time series
- Quantile smoothing in financial time series
- Nonparametric estimation of density derivatives of dependent data
- Subsampling for heteroskedastic time series
- Random central limit theorem for the linear process generated by a strong mixing process
- The moving blocks bootstrap and robust inference for linear least squares and quantile regressions
- Strong convergence of sums of \(\alpha \)-mixing random variables with applications to density estimation
- The bootstrap for empirical processes based on stationary observations
- On Edgeworth expansions for dependency-neighborhoods chain structures and Stein's method
- Adaptive estimation of density with sampled observations.
- Bootstrapping nonparametric estimators of the volatility function.
- A stochastic model for evolution of sociality in insects.
- A central limit theorem for a random quadratic form of strictly stationary processes
- Necessary and sufficient conditions for consistency of \(M\)-estimates in regression models with general errors
- Time and Palm stationarity of repairable systems
- Block length selection in the bootstrap for time series
- Estimation of conditional L₁-median from dependent observations
- On convergence rates for quadratic errors in kernel hazard estimation
- A note on variable selection in nonparametric regression with dependent data
- On bandwidth selection in partial linear regression models under dependence
- A new weak dependence condition and applications to moment inequalities
- Sequential point estimation of parameters in a threshold AR(1) model
- Hypoelliptic stochastic Fitzhugh-Nagumo neuronal model: mixing, up-crossing and estimation of the spike rate
- Asymptotic normality of estimators in heteroscedastic errors-in-variables model
- An integrate-and-fire model to generate spike trains with long-range dependence
- Asymptotic properties for LS estimators in EV regression model with dependent errors
- Simpler PAC-Bayesian bounds for hostile data
- Quenched phantom distribution functions for Markov chains
- A smooth block bootstrap for quantile regression with time series
- Nonparametric relative error regression for spatial random variables
- Abrupt change in mean using block bootstrap and avoiding variance estimation
- Consistent estimation of complete neuronal connectivity in large neuronal populations using sparse ``shotgun neuronal activity sampling
- Sieve maximum likelihood estimation of the spatial autoregressive Tobit model
- Applications of distance correlation to time series
- Weak dependence and GMM estimation of supOU and mixed moving average processes
- A bound of the \(\beta\)-mixing coefficient for point processes in terms of their intensity functions
- Some properties of stochastic volatility model that are induced by its volatility sequence
- Mixing inequalities in Riesz spaces
- Variable screening for high dimensional time series
- Estimation of the asymptotic variance of univariate and multivariate random fields and statistical inference
- Central limit theorem for exponentially quasi-local statistics of spin models on Cayley graphs
- Subsampling weakly dependent time series and application to extremes
- Rejoinder on: Subsampling weakly dependent time series and application to extremes
- Local polynomial estimation of a conditional mean function with dependent truncated data
- Study of the consistency of a stochastic algorithm under mixing
- Large deviations for martingales.
- Adaptive estimation of mean and volatility functions in (auto-)regressive models.
- Regular variation of GARCH processes.
- On optimal spatial subsample size for variance estimation
- Consistent and asymptotically normal parameter estimates for hidden Markov mixtures of Markov models
- Asymptotic distributions of M-estimators in a spatial regression model under some fixed and stochastic spatial sampling designs
- Coupling for \(\tau\)-dependent sequences and applications
- Upper bounds for spatial point process approximations
- Test for parameter change in stochastic processes based on conditional least-squares estimator
- New dependence coefficients. Examples and applications to statistics
- A note on estimating the conditional expectation under censoring and association: strong uniform consistency
- Recursive identification of systems with binary-valued outputs and with ARMA noises
- Efficient estimation of the mode of continuous multivariate data
- Regression-type inference in nonparametric autoregression
- Strong approximation of density estimators from weakly dependent observations by density estimators from independent observations
- Convergence of a stochastic approximation version of the EM algorithm
- The sequential estimation in stochastic regression model with random coefficients
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