Ergodic properties of max-infinitely divisible processes

DOI10.1016/J.SPA.2009.12.002MaRDI QIDQ2267516zbMATH OpenOpenAlexFDO

Authors Zakhar Kabluchko, M. Schlather

Publication date 1 March 2010

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

Full work available at URL https://arxiv.org/abs/0905.4196

zbMATH Keywords

codifferenceergodicitymax-infinitely divisible processesmax-stable processesmixing

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Extreme value theory; extremal stochastic processes (60G70)

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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