Ergodic properties of max-infinitely divisible processes

被引：33

作者：

Kabluchko, Zakhar ^{[1
]}

Schlather, Martin ^{[1
]}

机构：

[1] Inst Math Stochastik, D-37077 Gottingen, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 2010年 / 120卷 / 03期

关键词：

Max-infinitely divisible processes; Max-stable processes; Ergodicity; Mixing; Codifference; SAMPLE;

D O I：

10.1016/j.spa.2009.12.002

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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. (C) 2009 Elsevier B.V. All rights reserved.

引用

页码：281 / 295

页数：15

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