Constructing processes with prescribed mixing coefficients

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Abstract

The rate at which dependencies between future and past observations decay in a random process may be quantified in terms of mixing coefficients. The latter in turn appear in strong laws of large numbers and concentration of measure inequalities for dependent random variables. Questions regarding what rates are possible for various notions of mixing have been posed since the 1960's, and have important implications for some open problems in the theory of strong mixing conditions. This paper deals with η-mixing, a notion defined in [Kontorovich, Leonid, Ramanan, Kavita, 2008. Concentration inequalities for dependent random variables via the martingale method. Ann. Probab. (in press)], which is closely related to φ{symbol}-mixing. We show that there exist measures on finite sequences with essentially arbitrary η-mixing coefficients, as well as processes with arbitrarily slow mixing rates.

Original languageEnglish
Pages (from-to)2910-2915
Number of pages6
JournalStatistics and Probability Letters
Volume78
Issue number17
DOIs
StatePublished - 1 Dec 2008
Externally publishedYes

ASJC Scopus subject areas

  • Statistics and Probability
  • Statistics, Probability and Uncertainty

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