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

preprint2015arXivOpen access

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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