Translator Disclaimer
November 2013 Ergodicity and mixing bounds for the Fisher–Snedecor diffusion
A.M. Kulik, N.N. Leonenko
Bernoulli 19(5B): 2294-2329 (November 2013). DOI: 10.3150/12-BEJ453

Abstract

We consider the Fisher–Snedecor diffusion; that is, the Kolmogorov–Pearson diffusion with the Fisher–Snedecor invariant distribution. In the nonstationary setting, we give explicit quantitative rates for the convergence rate of respective finite-dimensional distributions to that of the stationary Fisher–Snedecor diffusion, and for the $\beta$-mixing coefficient of this diffusion. As an application, we prove the law of large numbers and the central limit theorem for additive functionals of the Fisher–Snedecor diffusion and construct $P$-consistent and asymptotically normal estimators for the parameters of this diffusion given its nonstationary observation.

Citation

Download Citation

A.M. Kulik. N.N. Leonenko. "Ergodicity and mixing bounds for the Fisher–Snedecor diffusion." Bernoulli 19 (5B) 2294 - 2329, November 2013. https://doi.org/10.3150/12-BEJ453

Information

Published: November 2013
First available in Project Euclid: 3 December 2013

zbMATH: 1296.60215
MathSciNet: MR3160555
Digital Object Identifier: 10.3150/12-BEJ453

Rights: Copyright © 2013 Bernoulli Society for Mathematical Statistics and Probability

JOURNAL ARTICLE
36 PAGES


SHARE
Vol.19 • No. 5B • November 2013
Back to Top