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Non-strong mixing autoregressive processes

Published online by Cambridge University Press:  14 July 2016

Donald W. K. Andrews
Donald W. K. Andrews*
Affiliation:
Yale University
*
∗Postal address: Department of Economics, Cowles Foundation for Research in Economics, Yale University, Box 2125, Yale Station, New Haven, CT 06520, USA.
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Abstract

Certain first-order autoregressive processes are shown not to be strong mixing. A direct proof is given. This proof gives considerably more insight into the nature of the result than do proofs by contradiction. The result and proof help to clarify the relation between the autoregressive and strong mixing conditions.

Keywords

STRONG MIXING
Type
Short Communications
Information
Journal of Applied Probability , Volume 21 , Issue 4 , December 1984 , pp. 930 - 934
Copyright
Copyright © Applied Probability Trust 1984 

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References

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