Estimating the Mixing Coefficients of Geometrically Ergodic Markov Processes

Abstract: We propose methods to estimate the individual $\beta$-mixing coefficients of a real-valued geometrically ergodic Markov process from a single sample-path $X_0,X_1, \dots,X_n$. Under standard smoothness conditions on the densities, namely, that the joint density of the pair $(X_0,X_m)$ for each $m$ lies in a Besov space $B^s_{1,\infty}(\mathbb R^2)$ for some known $s>0$, we obtain a rate of convergence of order $\mathcal{O}(\log(n) n^{-[s]/(2[s]+2)})$ for the expected error of our estimator in this case\footnote{We use $[s]$ to denote the integer part of the decomposition $s=[s]+{s}$ of $s \in (0,\infty)$ into an integer term and a {\em strictly positive} remainder term ${s} \in (0,1]$.}. We complement this result with a high-probability bound on the estimation error, and further obtain analogues of these bounds in the case where the state-space is finite. Naturally no density assumptions are required in this setting; the expected error rate is shown to be of order $\mathcal O(\log(n) n^{-1/2})$.