James Davidson

in Stochastic Limit Theory

Published in print October 1994 | ISBN: 9780198774037
Published online November 2003 | e-ISBN: 9780191596117 | DOI:

Series: Advanced Texts in Econometrics


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The concept of mixing is developed in the context of sequences of random variables. A set of important inequalities limiting the dependence of mixing sequences is proved. The case of linear processes is examined in depth, including some well‐known counterexamples. Sufficient conditions for strong and uniform mixing of linear processes are derived.

Keywords: absolute regularity; linear processes; mixing inequalities; strong dependence; strong mixing; uniform mixing

Chapter.  12529 words. 

Subjects: Econometrics and Mathematical Economics

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