A strictly stationary, M-tuplewise independent counterexample to the Central Limit Theorem
Le Mai Nguyen Weakley·2012-10-17·via math.PR updates on arXiv.org
For $M \geq 2$ we construct a strictly stationary, $M$-tuplewise independent sequence that is mixing (in the ergodic-theoretic sense) and yet still fails to satisfy the Central Limit Theorem.