Estimating beta-mixing coefficients
نویسندگان
چکیده
The literature on statistical learning for time series assumes the asymptotic independence or "mixing" of the data-generating process. These mixing assumptions are never tested, and there are no methods for estimating mixing rates from data. We give an estimator for the beta-mixing rate based on a single stationary sample path and show it is L1-risk consistent.
منابع مشابه
Estimating β-mixing coefficients
The literature on statistical learning for time series assumes the asymptotic independence or “mixing’ of the data-generating process. These mixing assumptions are never tested, nor are there methods for estimating mixing rates from data. We give an estimator for the β-mixing rate based on a single stationary sample path and show it is L1-risk consistent.
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ورودعنوان ژورنال:
- JMLR workshop and conference proceedings
دوره 15 شماره
صفحات -
تاریخ انتشار 2011