Remarks on the speed of convergence of mixing coefficients and applications

Abstract

In this paper, we study dependence coefficients for copula-based Markov chains. We provide new tools to check the convergence rates of mixing coefficients of copula-based Markov chains. We study Markov chains generated by the Metropolis-hastings algorithm and give conditions on the proposal that ensure exponential $\rho$-mixing, $\beta$-mixing and $\varphi$-mixing. A general necessary condition on symmetric copulas to generate exponential $\rho$-mixing or $\varphi$-mixing is given. At the end of the paper, we comment and improve some of our previous results on mixtures of copulas.

arXiv admin note: text overlap with arXiv:1207.5762