Ergodic Properties of Max-Infinitely Divisible Processes

2009/05/26 by Zakhar Kabluchko, Kabluchko, Zakhar, Martin Schlather +1
Economics, Econometrics and Finance · Mathematics · #Mathematical Dynamics and Fractals #Stochastic processes and financial applications #Stochastic processes and statistical mechanics #math.PR #msc:60G10 #msc:60G70

paper · pdf · doi:10.48550/arxiv.0905.4196

15 pages

arxiv created 2009/05/26 · arxiv updated 2009/12/01

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.

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