A strictly stationary, "causal," 5-tuplewise independent counterexample to the central limit theorem

Richard C. Bradley

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arXiv · 0911.2905

A strictly stationary, "causal," 5-tuplewise independent counterexample to the central limit theorem

Richard C. Bradley

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Abstract

A strictly stationary sequence of random variables is constructed with the following properties: (i) the random variables take the values -1 and +1 with probability 1/2 each, (ii) every five of the random variables are independent, (iii) the sequence is "causal" in a certain sense, (iv) the sequence has a trivial double tail sigma-field, and (v) regardless of the normalization used, the partial sums do not converge to a (nondegenerate) normal law. The example has some features in common with a recent construction (for an arbitrary fixed positive integer N), by Alexander Pruss and the author, of a strictly stationary N-tuplewise independent counterexample to the central limit theorem.

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Richard C. Bradley. 2009-11-15. A strictly stationary, "causal," 5-tuplewise independent counterexample to the central limit theorem. https://arxiv.org/abs/0911.2905

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