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Last passage time for the empirical mean of some mixing processes

Author

Listed:
  • Barbe, P.
  • Doisy, M.
  • Garel, B.

Abstract

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.

Suggested Citation

  • Barbe, P. & Doisy, M. & Garel, B., 1998. "Last passage time for the empirical mean of some mixing processes," Statistics & Probability Letters, Elsevier, vol. 40(3), pages 237-245, October.
    • Handle: RePEc:eee:stapro:v:40:y:1998:i:3:p:237-245
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    References listed on IDEAS

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    1. repec:crs:wpaper:9347 is not listed on IDEAS
    2. Pham, Tuan D. & Tran, Lanh T., 1985. "Some mixing properties of time series models," Stochastic Processes and their Applications, Elsevier, vol. 19(2), pages 297-303, April.
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