Year: 2025
Type: article
Abstract: We consider a class of strongly mixing sequences with infinite second moment. This class contains important GARCH processes that are applied in econometrics. We show the relative stability for such processes and construct a counterexample. We apply these results and obtain a new CLT without the requirement of exponential decay of mixing coefficients, and provide a counterexample to this as well.
Source: Foundations
Institution: Nicolaus Copernicus University
Language: English
Subfield: Statistics and Probability
Field: Mathematics
Domain: Physical Sciences
Open Access status: gold
Estimated APC paid: $1,207
OpenAlex ID: W4414548255