کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1156103 | 958802 | 2009 | 19 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Correlation cascades, ergodic properties and long memory of infinitely divisible processes
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: Correlation cascades, ergodic properties and long memory of infinitely divisible processes Correlation cascades, ergodic properties and long memory of infinitely divisible processes](/preview/png/1156103.png)
چکیده انگلیسی
In this paper, we investigate the properties of the recently introduced measure of dependence called correlation cascade. We show that the correlation cascade is a promising tool for studying the dependence structure of infinitely divisible processes. We describe the ergodic properties (ergodicity, weak mixing, mixing) of stationary infinitely divisible processes in the language of the correlation cascade and establish its relationship with the codifference. Using the correlation cascade, we investigate the dependence structure of four fractional αα-stable stationary processes. We detect the property of long memory and verify the ergodic properties of the discussed processes.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3416–3434
Journal: Stochastic Processes and their Applications - Volume 119, Issue 10, October 2009, Pages 3416–3434
نویسندگان
Marcin Magdziarz,