Short-range dependent processes subordinated to the Gaussian may not be strong mixing

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Date Issued
2016-03-01
Publisher Version
10.1016/j.spl.2015.12.010
Author(s)
Bai, Shuyang
Taqqu, Murad S.
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Permanent Link
https://hdl.handle.net/2144/37411
Version
First author draft
Citation (published version)
Shuyang Bai, Murad S Taqqu. 2016. "Short-range dependent processes subordinated to the Gaussian may not be strong mixing." STATISTICS & PROBABILITY LETTERS, Volume 110, pp. 198 - 200 (3). https://doi.org/10.1016/j.spl.2015.12.010
Abstract
There are all kinds of weak dependence. For example, strong mixing. Short-range dependence (SRD) is also a form of weak dependence. It occurs in the context of processes that are subordinated to the Gaussian. Is a SRD process strong mixing if the underlying Gaussian process is long-range dependent? We show that this is not necessarily the case.
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