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

Shuyang Bai; Murad S. Taqqu

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arXiv · 1508.04520

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

Shuyang Bai·Murad S. Taqqu

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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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Shuyang Bai, Murad S. Taqqu. 2015-08-19. Short-range dependent processes subordinated to the Gaussian may not be strong mixing. https://arxiv.org/abs/1508.04520

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