A New Mixing Condition

Brendan Beare

No 348, Economics Series Working Papers from University of Oxford, Department of Economics

Abstract: 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.

Keywords: Mixing; Weak Dependence; Hardy-Krause Variation (search for similar items in EconPapers)
JEL-codes: C22 C49 (search for similar items in EconPapers)
Date: 2007-09-01
New Economics Papers: this item is included in nep-ecm
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Citations: View citations in EconPapers (3)

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