Mixing Coefficients Between Discrete and Real Random Variables: Computation and Properties

DOI10.1109/TAC.2013.2281481zbMATH Open1360.62293arXiv1208.1720OpenAlexW2964335458MaRDI QIDQ2983288FDOQ2983288

Publication date: 16 May 2017

Published in: IEEE Transactions on Automatic Control (Search for Journal in Brave)

Abstract: In this paper we study the problem of estimating the alpha-, beta- and phi-mixing coefficients between two random variables, that can either assume values in a finite set or the set of real numbers. In either case, explicit closed-form formulas for the beta-mixing coefficient are already known. Therefore for random variables assuming values in a finite set, our contributions are two-fold: (i) In the case of the alpha-mixing coefficient, we show that determining whether or not it exceeds a prespecified threshold is NP-complete, and provide efficiently computable upper and lower bounds. (ii) We derive an exact closed-form formula for the phi-mixing coefficient. Next, we prove analogs of the data-processing inequality from information theory for each of the three kinds of mixing coefficients. Then we move on to real-valued random variables, and show that by using percentile binning and allowing the number of bins to increase more slowly than the number of samples, we can generate empirical estimates that are consistent, i.e., converge to the true values as the number of samples approaches infinity.

Full work available at URL: https://arxiv.org/abs/1208.1720

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Measures of association (correlation, canonical correlation, etc.) (62H20) Stationary stochastic processes (60G10)

Cited In (1)

An informatic approach to a long memory stationary process

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