Remarks on the speed of convergence of mixing coefficients and applications

Martial Longla

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arXiv · 1210.5673

Remarks on the speed of convergence of mixing coefficients and applications

Martial Longla

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Abstract

In this paper, we study dependence coefficients for copula-based Markov chains. We provide new tools to check the convergence rates of mixing coefficients of copula-based Markov chains. We study Markov chains generated by the Metropolis-hastings algorithm and give conditions on the proposal that ensure exponential $ρ$-mixing, $β$-mixing and $ϕ$-mixing. A general necessary condition on symmetric copulas to generate exponential $ρ$-mixing or $ϕ$-mixing is given. At the end of the paper, we comment and improve some of our previous results on mixtures of copulas.

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BibTeX RIS

Martial Longla. 2013-01-30. Remarks on the speed of convergence of mixing coefficients and applications. https://arxiv.org/abs/1210.5673

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