A strictly stationary, N-tuplewise independent counterexample to the Central Limit Theorem

Richard C. Bradley and Alexander R. Pruss

Stochastic Processes and their Applications, 2009, vol. 119, issue 10, 3300-3318

Abstract: For an arbitrary integer N>=2, this paper gives the construction of a strictly stationary (and ergodic), N-tuplewise independent sequence of (nondegenerate) bounded random variables such that the Central Limit Theorem fails to hold. The sequence is in part an adaptation of a nonstationary example with similar properties constructed by one of the authors (ARP) in a paper published in 1998.

Keywords: Strictly; stationary; Ergodic; N-tuplewise; independent; Central; Limit; Theorem (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (2)

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