Ergodic properties of max-infinitely divisible processes

DOI:	https://doi.org/10.1016/j.spa.2009.12.002
URL:	https://www.sciencedirect.com/science/article/pii/...
Additional URL:	https://arxiv.org/abs/0905.4196
Document Type:	Article
Year of publication:	2010
The title of a journal, publication series:	Stochastic Processes and Their Applications
Volume:	120
Issue number:	3
Page range:	281-295
Place of publication:	Amsterdam [u.a.]
Publishing house:	Elsevier
ISSN:	0304-4149
Publication language:	English
Institution:	School of Business Informatics and Mathematics > Applied Stochastics (Schlather 2012-)
Subject:	510 Mathematics
Keywords (English):	Max-infinitely divisible processes, Max-stable processes, Ergodicity, Mixing, Codifference
Abstract:	We prove that a stationary max-infinitely divisible process is mixing (ergodic) iff its dependence function converges to 0 (is Cesaro summable to 0). These criteria are applied to some classes of max-infinitely divisible processes.

Dieser Datensatz wurde nicht während einer Tätigkeit an der Universität Mannheim veröffentlicht, dies ist eine Externe Publikation.

BASE: Kabluchko, Zakhar ; Schlather, Martin

Google Scholar: Kabluchko, Zakhar ; Schlather, Martin

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