Independence Is Not Always Consistently Testable

Abstract

We study the problem of testing independence between the coordinate processes of a jointly stationary ergodic binary process from finite observations. We prove that no test is pointwise consistent in probability: any procedure whose power tends to one against every dependent law must have nonvanishing false-positive probability on some independent stationary ergodic law along infinitely many sample sizes. Quantitatively, for some jointly stationary ergodic law with independent coordinate processes, the false-positive probability has limsup at least $1/2$. Thus, even under stationarity and ergodicity, independence cannot be consistently decided from increasingly long finite samples. The proof combines a diagonal construction with rare markers that create detectable dependence at selected scales while converging to a limiting process whose coordinates are independent.