The Equivalence of Ergodicity and Weak Mixing for Infinitely Divisible Processes

Jan Rosiński () and Tomasz Żak ()
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Jan Rosiński: University of Tennessee

Journal of Theoretical Probability, 1997, vol. 10, issue 1, 73-86

Abstract: Abstract The equivalence of ergodicity and weak mixing for general infinitely divisible processes is proven. Using this result and [9], simple conditions for ergodicity of infinitely divisible processes are derived. The notion of codifference for infinitely divisible processes is investigated, it plays the crucial role in the proofs but it may be also of independent interest.

Keywords: Stationary process; ergodicity; weak mixing; infinitely divisible process (search for similar items in EconPapers)
Date: 1997
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DOI: 10.1023/A:1022690230759

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