Remarks on the speed of convergence of mixing coefficients and applications

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 ens...

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Bibliographic Details
Published in:arXiv.org 2013-01
Main Author: Longla, Martial
Format: Article
Language:English
Subjects:
Algorithms
Coefficients
Convergence
Dependence
Markov analysis
Markov chains
Online Access:Get full text
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Summary: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 \(\rho\)-mixing, \(\beta\)-mixing and \(\phi\)-mixing. A general necessary condition on symmetric copulas to generate exponential \(\rho\)-mixing or \(\phi\)-mixing is given. At the end of the paper, we comment and improve some of our previous results on mixtures of copulas.
ISSN:2331-8422