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Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory.

0 votes
1 answer
122 views

Functions that preserve the mixing of a stochastic process

Suppose we have a continuous-time stochastic process $s(t)$ that's mixing. What properties would a function $f$ have to have so that $f(s(t))$ would also be mixing? I'm sure this is a well-known thin …
Nithin Ramesan's user avatar
1 vote
1 answer
251 views

Confidence Intervals for strongly mixing stochastic processes

I have $s(t)$, a stationary stochastic process that we know is strongly mixing - and I also know that samples from $s(t)$ are definitely correlated over time. I want to estimate the mean of $s(t)$, $\ …
Nithin Ramesan's user avatar