A Central Limit Theorem for Stationary $\rho$-Mixing Sequences with Infinite Variance
Richard C. Bradley · The Annals of Probability · 1988
A central limit theorem is proved for some strictly stationary $\rho$-mixing sequences with infinite second moments. The condition on the tails of the marginal distribution is the same as in the corresponding classic result for i.i.d. sequences. The mixing rate is essentially the slowest possible for this result.