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Ergodicity and mixing bounds for the Fisher-Snedecor diffusion

Kulik, A. M. and Leonenko, Nikolai N. 2013. Ergodicity and mixing bounds for the Fisher-Snedecor diffusion. Bernoulli 19 (5B) , pp. 2153-2779. 10.3150/12-BEJ453

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Abstract

We consider the Fisher-Snedecor diffusion; that is, the Kolmogorov-Pearson diffusion with the Fisher-Snedecor invariant distribution. In the non-stationary setting we give explicit quantative rates for the convergence rate of respective finite-dimensional distributions to that of the stationary Fisher-Snedecor diffusion, and for the beta-mixing coefficient of this diffusion. As an application, we prove the law of large numbers and the central limit theorem for additive functionals of the Fisher-Snedecor diffusion and construct P-consistent and asymptotically normal estimators for the parameters of this diffusion given its non-stationary observation.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Additional Information: Pdf uploaded in accordance with publisher's policy at http://www.sherpa.ac.uk/romeo/issn/1350-7265/ (accessed 25/02/2014)
Publisher: Bernoulli Society for Mathematical Statistics and Probability
ISSN: 1350-7265
Date of First Compliant Deposit: 30 March 2016
Last Modified: 04 Jun 2017 04:49
URI: http://orca.cf.ac.uk/id/eprint/45213

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