Chen, Xiaohong; Hansen, Lars P.; Carrasco, Marine - Centre Interuniversitaire de Recherche en Analyse des … - 2009
Nonlinearities in the drift and diffusion coefficients influence temporal dependence in scalar diffusion models. We … study this link using two notions of temporal dependence: β−mixing and ρ−mixing. Weshow that β−mixing and ρ−mixing with … how nonlinear, state-dependent, Poisson sampling alters the unconditional distribution as well as the temporal dependence …