Invariance properties of random vectors and stochastic processes based on the zonoid concept

DOI10.3150/13-BEJ519MaRDI QIDQ396000zbMATH OpenFDO

Authors Michael Schmutz, Kaspar Stucki, Ilya S. Molchanov

Publication date 8 August 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1203.6085, https://projecteuclid.org/euclid.bj/1402488938

zbMATH Keywords

exchangeabilityisometryzonoidergodic theoremswap-invariance

Mathematics Subject Classification ID

Geometric probability and stochastic geometry (60D05) Stable stochastic processes (60G52) Exchangeability for stochastic processes (60G09)

Abstract: Two integrable random vectors $xi$ and $x{i}^{\ast }$ in $mathbb{R}^d$ are said to be zonoid equivalent if, for each $uinmathbb{R}^d$, the scalar products $langlexi,uangle$ and $langlex{i}^{\ast },uangle$ have the same first absolute moments. The paper analyses stochastic processes whose finite-dimensional distributions are zonoid equivalent with respect to time shift (zonoid stationarity) and permutation of its components (swap invariance). While the first concept is weaker than the stationarity, the second one is a weakening of the exchangeability property. It is shown that nonetheless the ergodic theorem holds for swap-invariant sequences and the limits are characterised.

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Cited in

(14)

• Generalized Pickands constants and stationary max-stable processes
• Diagonal Minkowski classes, zonoid equivalence, and stable laws
• On idempotent \(D\)-norms
• Shift-invariant homogeneous classes of random fields
• Max-stable random sup-measures with comonotonic tail dependence
• Expectation of a random submanifold: the zonoid section
• Lift expectations of random sets
• Lift zonoid and barycentric representation on a Banach space with a cylinder measure
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• Swap-invariant sequences and random measures
• Multivariate max-stable processes and homogeneous functionals
• On extremal index of max-stable random fields
• The robustness of the generalized Gini index
• Representations of \(\max\)-stable processes via exponential tilting

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