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A New Mixing Condition

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Author Info
Brendan K. Beare
Abstract

In this paper a new mixing condition for sequences of random variables is considered. This mixing condition is termed ?-mixing. Whereas mixing conditions such as ?-mixing are typically defined in terms of entire ?-fields of sets generated by random variables in the distant past and future, ?-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 ?-mixing processes.

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Paper provided by University of Oxford, Department of Economics in its series Economics Series Working Papers with number 348.

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Date of creation: 2007
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Handle: RePEc:oxf:wpaper:348

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Related research
Keywords: Mixing; Weak Dependence; Hardy-Krause Variation;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C49 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Other

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