Ergodic properties of stationary stable processes

Stamatis Cambanis, Clyde D. Hardin and Aleksander Weron

Stochastic Processes and their Applications, 1987, vol. 24, issue 1, 1-18

Abstract: We derive spectral necessary and sufficient conditions for stationary symmetric stable processes to be metrically transitive and mixing. We then consider some important classes of stationary stable processes: Sub-Gaussian stationary processes and stationary stable processes with a harmonic spectral representation are never metrically transitive, the latter in sharp contrast with the Gaussian case. Stable processes with a harmonic spectral representation satisfy a strong law of large numbers even though they are not generally stationary. For doubly stationary stable processes, sufficient conditions are derived for metric transitivity and mixing, and necessary and sufficient conditions for a strong law of large numbers.

Keywords: stable; processes; ergodic; theory; stationary; processes; spectral; representations (search for similar items in EconPapers)
Date: 1987
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Citations: View citations in EconPapers (12)

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