Last passage time for the empirical mean of some mixing processes

This paper studies the last time when an estimator, which is based on some strongly mixing data, is far from its almost sure limiting value. Applications are given for AR processes and MCMC methods.

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Year of publication:	1998
Authors:	Barbe, P. ; Doisy, M. ; Garel, B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 40.1998, 3, p. 237-245
Publisher:	Elsevier
Keywords:	Mixing process Number of [epsilon]-misses The last n AR processes Gibbs sampling

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005143412