Probability, random processes, and ergodic properties
This book aims at giving a reasonably self-contained introduction to the study of ergodic and stationarity properties of discrete-time stochastic processes with general alphabets. It is, in the first place, written for graduate engineering students, but it contains also many topics that have not appeared before in books and are of interest to mathematicians, too. The book starts with an introduction to that part of measure theory which is needed later. After some fundamental standard material (\(\sigma\)- algebras, Carathéodory extension theorem), there is a coding oriented development of basic results on standard spaces (measure spaces having sufficient regularity properties to admit regular conditional probabilities and general enough to include all important examples). Usually this theory is only given in mathematically advanced monographs. Thus, the present very readable introduction may be welcome to many readers. A special feature of the book is the presentation of the theory of asymptotically mean stationary processes, the first detailed presentation in book form. The author played a key role in the development of this theory. A transformation T in a finite measure space (\(\Omega\),\({\mathcal B},m)\) is called asymptotically mean stationary if \[ \lim n^{- 1}\sum^{n-1}_{i=0}m(T^{-i}A)=\bar m(A) \] exists for all \(A\in {\mathcal B}\). In this case, \(\bar m\) is a T-invariant measure. m is asymptotically mean stationary if and only if the averages \(n^{- 1}\sum^{n-1}_{i=0}f(T\) \(i\omega)\) converge a.e. for all bounded measurable f. The next chapter deals with ergodic theorems. The proofs use arguments of Ornstein-Weiss, Katznelson-Weiss, Jones and Shields. Kingman's subadditive ergodic theorem is extended to asymptotically mean stationary processes. Finally, there is a chapter on ergodic decompositions and some concepts of ``distance between random processes. E.g., the \({\bar \rho}\)- distance, introduced by Levenshtein, Vasershtein and Ornstein is studied and compared to other distances. Originally, the material in this book was to be the first half of a book on information theory and ergodic theory. Now, the coding part is promised for a second volume. The disadvantage of this procedure is that one does not see satisfactorily in the present book what some of the notions are good for. It partly is a tool box which is not yet needed. Nevertheless, it provides easy access to various topics which are frequently skipped although they have not been easily available. Some classic material on stationary processes (spectral theory, continuous time processes) is absent from this book, but this is not a loss since there are other books on these topics. The proofs are given with a lot of details, and the author makes great efforts to explain the motivation. I was surprised to hear that engineering students need as much measure theory as given here, but if they do, this is a good book to learn it. This book is a very valuable addition to the literature on stochastic processes.
- Ergodicity of asymptotically mean stationary channels
- Some properties of generalized exponential entropies with applications to data compression
- Jeffreys' prior is asymptotically least favorable under entropy risk
- On the structure and diversity of rational beliefs
- Invariant rate functions for discrete-time queues
- The existence of fixed points for the \(\cdot\)/GI/1 queue.
- The attractiveness of the fixed points of a \(\cdot/\text{GI}/1\) queue.
- Noise-induced chaos and phase space flux
- Ergodicity and extremality of AMS sources and channels
- Nonparametric inference for ergodic, stationary time series
- Testing composite hypotheses about discrete ergodic processes
- Dynamics of Bayesian updating with dependent data and misspecified models
- Covariance-based dissimilarity measures applied to clustering wide-sense stationary ergodic processes
- A mathematical modelling for workflows
- Intermittent estimation of stationary time series
- Continuity of information transport in surjective cellular automata
- On the sensitive dependence on initial conditions of the dynamics of networks of spiking neurons
- Rational belief structures and rational belief equilibria
- Ergodic properties of conditional forecast functions of stable systems
- On classifying processes
- Ergodic theory and arithmetical simulation of random processes
- Ergodic theorems for extended real-valued random variables
- Stationary and ergodic properties of stochastic nonlinear systems controlled over communication channels
- Probability, random processes, and the statistical description of dynamics
- Probability, Random Processes, and Ergodic Properties
- Probability, ergodicity, irreversibility and dynamical systems
- Variational characterization of the critical curve for pinning of random polymers
- scientific article; zbMATH DE number 918233 (Why is no real title available?)
- Identifiability of a model for discrete frequency distributions with a multidimensional parameter space
- Qualitative robustness of estimators on stochastic processes
- On asymptotic and finite-time optimality of Bayesian predictors
- Induced transformations of recurrent a.m.s. dynamical systems
- On stochastic stability of a class of non-Markovian processes and applications in quantization
- A consistent nonparametric test of ergodicity for time series with applications
- Structure theorems for partially asynchronous iterations of a nonnegative matrix with random delays.
- Nonparametric multiple change point estimation in highly dependent time series
- Weakly consistent offline clustering of ARMA processes
- A model of financial markets with endogenously correlated rational beliefs
- On the error-free filtering of finite-state singular processes under dependent distortions
- Discrimination between B-processes is impossible
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