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Azadeh Khaleghi (Lancaster University) – “Inferring the mixing properties of an ergodic process “

March 21 @ 2:00 pm - 3:15 pm

Statistical Seminar: Every Monday at 2:00 pm.
Time: 2:00 pm – 3:15 pm
Date: 21th of March 2022
Place: Amphi 200

Azadeh Khaleghi (Lancaster University) – “Inferring the mixing properties of an ergodic process”

Abstract: In this talk I will introduce some of our recent results on the estimation of mixing coefficients from stationary ergodic sample paths. Specifically, we have proposed strongly consistent estimators of the ℓ1 norm of the sequence of α-mixing (respectively β-mixing) coefficients of a stationary ergodic process. We have also provided strongly consistent estimators of individual α-mixing (respectively β-mixing) coefficients for a subclass of stationary α-mixing (respectively β-mixing) processes with summable sequences of mixing coefficients. The estimators are in turn used in the development of hypothesis tests for mixing rates. I will end with a discussion on the potential application of these results to the approximation of the optimal strategy in restless multi-armed bandits.

 

Organizers:
Cristina BUTUCEA (CREST), Alexandre TSYBAKOV (CREST), Karim LOUNICI (CMAP) , Jaouad MOURTADA (CREST)
Sponsors:
CREST-CMAP