On Relative Stability for Strongly Mixing Sequences
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.
Authors
- Adam Jakubowski (ORCID: https://orcid.org/0000-0002-5918-7784)
- Zbigniew S. Szewczak (ORCID: https://orcid.org/0000-0002-7228-858X)
Institutions
- Nicolaus Copernicus University (PL)
Publication Details
- Journal
- Foundations
- Published
- 2025-09-25
- DOI
- https://doi.org/10.3390/foundations5040033
- Primary Topic
- Mathematical Dynamics and Fractals
- Type
- article
- Field-Weighted Citation Impact
- 0.00