Estimating the Mixing Coefficients of Geometrically Ergodic Markov Processes

Steffen Grünewälder, Azadeh Khaleghi

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 st…