Simple conditions for mixing of infinitely divisible processes
Let (Xt)t[epsilon]T be a real-valued, stationary, infinitely divisible stochastic process. We show that (Xt)t[epsilon]T is mixing if and only if Eei(Xt - X0) --> EeiX02, provided the Lévy measure of X0 has no atoms in 2[pi]Z. We also show that if (Xt)t[epsilon]T is given by a stochastic integral with respect to an infinitely divisible measure then the mixing of (Xt)t[epsilon]T is equivalent to the essential disjointness of the supports of the representing functions.
Year of publication: |
1996
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Authors: | Rosinski, Jan ; Zak, Tomasz |
Published in: |
Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 61.1996, 2, p. 277-288
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Publisher: |
Elsevier |
Keywords: | Stationary process Infinitely divisible process Mixing Weak mixing |
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