On the mixing structure of stationary increment and self-similar symmetric \alpha-stable processes

arXiv1211.6419MaRDI QIDQ6237527FDOQ6237527

Authors: Donatas Surgailis, Jan Rosiński, V. S. Mandrekar, Stamatis Cambanis 

Publication date: 27 November 2012

Abstract: Mixed moving average processes appear in the ergodic decomposition of stationary symmetric alpha-stable (Salpha S) processes. They correspond to the dissipative part of "deterministic" flows generating Salpha S processes (Rosinski, 1995). Along these lines we study stationary increment and self-similar Salpha S processes. Since the classes of stationary increment and self-similar processes can be embedded into the class of stationary processes by the Masani and Lamperti transformations, respectively, we characterize these classes of Salpha S processes in terms of nonsingular flows and the related cocycles. We illustrate this approach considering various examples of self-similar mixed moving average Salpha S processes introduced in (Surgailis, Rosinski, Mandrekar and Cambanis, 1992).

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