Strong stationarity and de Finetti's theorem

DOI10.1007/BF02788136MaRDI QIDQ1385403zbMATH OpenOpenAlexFDO

Authors E. Jenvey

Publication date 16 November 1998

Published in Journal d'Analyse Mathématique (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf02788136

zbMATH Keywords

eigenvaluesexchangeabilitymeasure-preserving dynamical systemstrong stationary processes

Mathematics Subject Classification ID

Measure-preserving transformations (28D05) Foundations of stochastic processes (60G05)

Review text

The classical result of \textit{B. de Finetti} [Ann. Inst. Henri Poincaré 7, 1-68 (1937; Zbl 0017.07602)] states that any exchangeable process must be a mixture of independent and i.i.d. processes; if such a process is ergodic it must therefore be i.i.d. In this paper a notion weaker than exchangeability is introduced. A stationary process \(\{X_i\}\) is called strongly stationary if restricting the index \(i\) to any arithmetic progression \(\{X_{ri+b}\}\) gives a process with the same distribution. The main result is that any ergodic strongly stationary process is i.i.d. The methods used come from ergodic theory (analysing the eigenvalues of a measure-preserving dynamical system generating the process) and from the notion of IP-systems in the work of \textit{H. Furstenberg} and \textit{Y. Katznelson} [J. Anal. Math. 45, 117-168 (1985; Zbl 0605.28012)].

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Cites work

• An ergodic Szemerédi theorem for IP-systems and combinatorial theory
• scientific article; zbMATH DE number 3719449 (Why is no real title available?)
• scientific article; zbMATH DE number 3026923 (Why is no real title available?)

Cited in

(11)

• On a measure of symmetry for stationary random sequences
• Asymptotically invariant sampling and averaging
• The logarithmic Sarnak conjecture for ergodic weights
• Furstenberg systems of Hardy field sequences and applications
• On Furstenberg systems of aperiodic multiplicative functions of Matomäki, Radziwiłł, and Tao
• Fine irreducibility and uniqueness of stationary distribution
• The structure of strongly stationary systems
• Ergodic quasi-exchangeable stationary processes are isomorphic to Bernoulli processes
• Weak ergodicity of stationary pairwise independent processes
• Some open problems on multiple ergodic averages
• Furstenberg systems of pretentious and MRT multiplicative functions

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