Correlation cascades, ergodic properties and long memory of infinitely divisible processes

DOI10.1016/J.SPA.2009.06.002zbMATH Open1175.60047OpenAlexW2163330864MaRDI QIDQ734643FDOQ734643

Marcin Magdziarz

Publication date: 13 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.spa.2009.06.002

zbMATH Keywords

ergodicitystable distributionlong memorymixingweak mixingfractional Ornstein-Uhlenbeck processinfinitely divisible processcorrelation cascade

Mathematics Subject Classification ID

Stationary stochastic processes (60G10) Stable stochastic processes (60G52)

Cites Work

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• Fractional {O}rnstein-{U}hlenbeck processes
• Semi-Stable Stochastic Processes
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• On defining long-range dependence
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• Some mixing conditions for stationary symmetric stable stochastic processes
• A Note on Maruyama's Mixing Theorem

Cited In (15)

• Long-time tails of correlation and memory functions
• Codifference as a practical tool to measure interdependence
• A Least Squares Estimator for Lévy-driven Moving Averages Based on Discrete Time Observations
• Stable continuous-time autoregressive process driven by stable subordinator
• The modified Yule-Walker method for \(\alpha\)-stable time series models
• Scaling properties of the empirical structure function of linear fractional stable motion and estimation of its parameters
• Modified cumulative distribution function in application to waiting time analysis in the continuous time random walk scenario
• Modeling anomalous diffusion by a subordinated fractional Lévy-stable process
• Stochastic processes with power-law stability and a crossover in power-law correlations
• Asymptotic behaviour of time averages for non-ergodic Gaussian processes
• Ergodic properties of Lévy flights coexisting with subdiffusion and related models
• Long memory and asymmetry for matrix-exponential dynamic correlation processes
• Ergodic properties of anomalous diffusion processes
• The Poisson aggregation process
• How random is a random vector?

Uses Software

• longmemo

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