Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1156103 | Stochastic Processes and their Applications | 2009 | 19 Pages |
Abstract
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.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematics (General)
Authors
Marcin Magdziarz,