All Questions
1 question
1
vote
2
answers
236
views
Counterexample for absolute summability of autocovariances of strictly stationary strongly mixing sequence
Suppose $(X_i)_{i\in\mathbb{Z}}$ is a strictly stationary, strongly (i.e. $\alpha-$)mixing sequence of real random variables. If we have $\mathbb{E}[|X_1|^{2+\epsilon}]<\infty$ for some $\epsilon&...
- 203