Ergodic properties of max-infinitely divisible processes

Zakhar Kabluchko and Martin Schlather

Stochastic Processes and their Applications, 2010, vol. 120, issue 3, 281-295

Abstract: We prove that a stationary max-infinitely divisible process is mixing (ergodic) iff its dependence function converges to 0 (is Cesàro summable to 0). These criteria are applied to some classes of max-infinitely divisible processes.

Keywords: Max-infinitely; divisible; processes; Max-stable; processes; Ergodicity; Mixing; Codifference (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (8)

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