A new mixing condition

Working paper

In this paper a new mixing condition for sequences of random variables is considered. This mixing condition is termed ã-mixing. Whereas mixing conditions such as á-mixing are typically defined in terms of entire ó-fields of sets generated by random variables in the distant past and future, ã-mixing is defined in terms of a smaller class of sets: the finite dimensional cylinder sets. This leads to a definition of mixing more general than those in current use. A Rosenthal inequality, law of large numbers, and functional central limit theorem are proved for ã-mixing processes.

Authors: Beare, B

• Publication status: Published
• Publisher: University of Oxford
• Series: Department of Economics Discussion Paper Series
• Publication date: 2007-09-01
• Paper number: 348
• Keywords: Hardy-Krause variation; mixing; weak dependence