Autoregressive Time Series Are $L_p$-Mixingales

Dao Quang Tuyen



Abstract. 

    Autoregressive time series, generated by data which are $\a$-mixing (strong mixing), $\p$-mixing or are $L_p$-mixingales,  are proved to be $L_p$-mixingales. Under a condition on mixingale rates they satisfy the strong law.