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Stochastic Limit TheoryAn Introduction for Econometricians$
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James Davidson

Print publication date: 1994

Print ISBN-13: 9780198774037

Published to Oxford Scholarship Online: November 2003

DOI: 10.1093/0198774036.001.0001

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Mixing

Mixing

Chapter:
(p.209) 14 Mixing
Source:
Stochastic Limit Theory
Author(s):

James Davidson

Publisher:
Oxford University Press
DOI:10.1093/0198774036.003.0014

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

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