A strictly stationary β-mixing process satisfying the central limit theorem but not the weak invariance principle

In 1983, N. Herrndorf proved that for a ϕ-mixing sequence satisfying the central limit theorem and lim infn→∞σn2/n>0, the weak invariance principle takes place. The question whether for strictly stationary sequences with finite second moments and a weaker type (α, β, ρ) of mixing the central limit theorem implies the weak invariance principle remained open.

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Year of publication:	2014
Authors:	Giraudo, Davide ; Volný, Dalibor
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 124.2014, 11, p. 3769-3781
Publisher:	Elsevier
Subject:	Central limit theorem \| Invariance principle \| Mixing conditions \| Strictly stationary process

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011065110