Correlation cascades, ergodic properties and long memory of infinitely divisible processes

DOI10.1016/j.spa.2009.06.002zbMath1175.60047OpenAlexW2163330864MaRDI QIDQ734643

Marcin Magdziarz

Publication date: 13 October 2009

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spa.2009.06.002

zbMATH Keywords

ergodicitymixinglong memoryweak mixingstable distributionfractional Ornstein-Uhlenbeck processinfinitely divisible processcorrelation cascade

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

Related Items (12)

Stable continuous-time autoregressive process driven by stable subordinator ⋮ The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Asymptotic behaviour of time averages for non-ergodic Gaussian processes ⋮ Ergodic properties of Lévy flights coexisting with subdiffusion and related models ⋮ Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario ⋮ Modeling anomalous diffusion by a subordinated fractional Lévy-stable process ⋮ The Poisson aggregation process ⋮ How random is a random vector? ⋮ Ergodic properties of anomalous diffusion processes ⋮ Codifference as a practical tool to measure interdependence ⋮ A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations ⋮ Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters

Uses Software

• longmemo

Cites Work

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