If $N$ random variables are identically distributed but weakly correlated, in what condition we can approximate them as independent identically distributed (iid) ?
I saw an old paper where based on the exponentially decaying correlation coefficients, author approximate samples as iid, but could not find the paper. Does anybody knows any formula or corollary or paper that clearly explain this type of situations ?
My Problem: I am trying to find the distribution of $M_n$ where $M_n = \max_n(X_1,X_2, \dots X_n)$. Here correlation of $X_i, X_k$ are exponentially decaying where $i \ll k$. If I assume independence, then it would be Gumbel distribution and through simulation it works. But need to justify the results.
If it works when you simulate it, then that is pretty good evidence that it works! However, if you feel the need to appeal to theoretical arguments, you can imagine choosing a subsequence of your $X_i$ such that the difference in indices is $k$. Lets call a sequence like this with $i$ terms $S_k^i$.
Using this notation, and your assumption of exponentially decaying correlation between variables in the sequence, we can see that $S_k^i$ is an asymptotically independent sequence of RVs as $k\to \infty$. Therefore, the normalized distribution of the maximum in $S_k$ will approach a gumbel as $k,i\to \infty$. Since we are talking about limiting distributions, the fact that we ommitted some of our original RVs is not important.