Estimating β-mixing coefficients

03/04/2011

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by   Daniel J. McDonald, et al.

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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 L_1-risk consistent.