Short-range dependent processes subordinated to the Gaussian may not be strong mixing
Files
First author draft
Date
2016-03-01
Authors
Bai, Shuyang
Taqqu, Murad S.
Version
First author draft
OA Version
Citation
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.