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Estimating $β$-mixing coefficients
Published 4 Mar 2011 in stat.ML, cs.LG, and math.PR | (1103.0941v1)
Abstract: 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 $\beta$-mixing rate based on a single stationary sample path and show it is $L_1$-risk consistent.
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