Last passage time for the empirical mean of some mixing processes

P. Barbe, M. Doisy and B. Garel

Statistics & Probability Letters, 1998, vol. 40, issue 3, 237-245

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.

Keywords: Mixing; process; Number; of; [epsilon]-misses; The; last; n; AR; processes; Gibbs; sampling (search for similar items in EconPapers)
Date: 1998
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