A strictly stationary $β$-mixing process satisfying the central limit theorem but not the weak invariance principle

Abstract: In 1983, N. Herrndorf proved that for a $\phi$-mixing sequence satisfying the central limit theorem and $\liminf_{n\to\infty}\frac{\sigma^2_n}n>0$, the weak invariance principle takes place. The question whether for strictly stationary sequences with finite second moments and a weaker type ($\alpha$, $\beta$, $\rho$) of mixing the central limit theorem implies the weak invariance principle remained open. We construct a strictly stationary $\beta$-mixing sequence with finite moments of any order and linear variance for which the central limit theorem takes place but not the weak invariance principle.