Ergodicity and mixing bounds for the Fisher-Snedecor diffusion

DOI10.3150/12-BEJ453zbMath1296.60215arXiv1312.4674OpenAlexW2120600095MaRDI QIDQ2435244

Nikolai N. Leonenko, Alexei M. Kulik

Publication date: 4 February 2014

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1312.4674

zbMATH Keywords

law of large numbersconvergence ratecentral limit theorem\(\beta\)-mixing coefficientFisher-Snedecor diffusion

Mathematics Subject Classification ID

Central limit and other weak theorems (60F05) Markov processes: estimation; hidden Markov models (62M05) Diffusion processes (60J60) Functional limit theorems; invariance principles (60F17)

Related Items (4)

Diffusion approximation of systems with weakly ergodic Markov perturbations. II ⋮ Hypothesis testing for Fisher-Snedecor diffusion ⋮ Parameter estimation for non-stationary Fisher-Snedecor diffusion ⋮ Time-non-local Pearson diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Hypothesis testing for Fisher-Snedecor diffusion
• Asymptotic and spectral properties of exponentially \(\phi\)-ergodic Markov processes
• Basic properties of strong mixing conditions. A survey and some open questions
• Exponential ergodicity of the solutions to SDE's with a jump noise
• Statistical inference for reciprocal gamma diffusion process
• Über die analytischen Methoden in der Wahrscheinlichkeitsrechnung
• Diffusion-type models with given marginal distribution and autocorrelation function
• Exponential and uniform ergodicity of Markov processes
• Statistical Inference for Student Diffusion Process
• Approximation Theorems of Mathematical Statistics
• On the functional central limit theorem and the law of the iterated logarithm for Markov processes
• Probability Theory III
• The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes
• On exponential bounds for mixing and the rate of convergence for Student processes
• Parameter estimation for Fisher–Snedecor diffusion
• Stochastic volatility models as hidden Markov models and statistical applications

This page was built for publication: Ergodicity and mixing bounds for the Fisher-Snedecor diffusion