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

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  • Bai, Shuyang
  • Taqqu, Murad S.

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.

Suggested Citation

  • Bai, Shuyang & Taqqu, Murad S., 2016. "Short-range dependent processes subordinated to the Gaussian may not be strong mixing," Statistics & Probability Letters, Elsevier, vol. 110(C), pages 198-200.
    • Handle: RePEc:eee:stapro:v:110:y:2016:i:c:p:198-200
    DOI: 10.1016/j.spl.2015.12.010
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    References listed on IDEAS

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    1. Breuer, Péter & Major, Péter, 1983. "Central limit theorems for non-linear functionals of Gaussian fields," Journal of Multivariate Analysis, Elsevier, vol. 13(3), pages 425-441, September.
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