A strictly stationary, N-tuplewise independent counterexample to the Central Limit Theorem

For an arbitrary integer N>=2, this paper gives the construction of a strictly stationary (and ergodic), N-tuplewise independent sequence of (nondegenerate) bounded random variables such that the Central Limit Theorem fails to hold. The sequence is in part an adaptation of a nonstationary example with similar properties constructed by one of the authors (ARP) in a paper published in 1998.

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Year of publication:	2009
Authors:	Bradley, Richard C. ; Pruss, Alexander R.
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 119.2009, 10, p. 3300-3318
Publisher:	Elsevier
Keywords:	Strictly stationary Ergodic N-tuplewise independent Central Limit Theorem

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

Persistent link: https://www.econbiz.de/10008874017