Short-range dependent processes subordinated to the Gaussian may not be strong mixing
Probability
2015-08-20 v1 Statistics Theory
Statistics Theory
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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Cite
@article{arxiv.1508.04520,
title = {Short-range dependent processes subordinated to the Gaussian may not be strong mixing},
author = {Shuyang Bai and Murad S. Taqqu},
journal= {arXiv preprint arXiv:1508.04520},
year = {2015}
}
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3 pages