Ergodic properties of max-infinitely divisible processes

We prove that a stationary max-infinitely divisible process is mixing (ergodic) iff its dependence function converges to 0 (is Cesàro summable to 0). These criteria are applied to some classes of max-infinitely divisible processes.

MoreLess

Year of publication:	2010
Authors:	Kabluchko, Zakhar ; Schlather, Martin
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 120.2010, 3, p. 281-295
Publisher:	Elsevier
Keywords:	Max-infinitely divisible processes Max-stable processes Ergodicity Mixing Codifference

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875620