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1995 | 114 | 3 | 275-287
Tytuł artykułu

On measure-preserving transformations and doubly stationary symmetric stable processes

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Treść / Zawartość
Warianty tytułu
Języki publikacji
EN
Abstrakty
EN
In a 1987 paper, Cambanis, Hardin and Weron defined doubly stationary stable processes as those stable processes which have a spectral representation which is itself stationary, and they gave an example of a stationary symmetric stable process which they claimed was not doubly stationary. Here we show that their process actually had a moving average representation, and hence was doubly stationary. We also characterize doubly stationary processes in terms of measure-preserving regular set isomorphisms and the existence of σ-finite invariant measures. One consequence of the characterization is that all harmonizable symmetric stable processes are doubly stationary. Another consequence is that there exist stationary symmetric stable processes which are not doubly stationary.
Twórcy
autor
  • Department of Statistics and Applied Probability, University of California, Santa Barbara, California 93106-3110, U.S.A., aaron@ieadler2.technion.ac.il
autor
  • Hugo Steinhaus Center for Stochastic Methods, Technical University of Wrocławi, 50-370 Wrocław, Poland, weron@banach.im.pwr.wroc.pl
Bibliografia
  • P. Billingsley (1986), Probability and Measure, Wiley, New York.
  • S. Cambanis, C. D. Hardin, Jr. and A. Weron (1987), Ergodic properties of stationary stable processes, Stochastic Process. Appl. 24, 1-18.
  • A. Gross (1994), Some mixing conditions for stationary symmetric stable stochastic processes, ibid. 51, 277-285.
  • C. D. Hardin, Jr. (1981), Isometries on subspaces of $L^p$, Indiana Univ. Math. J. 30, 449-465.
  • C. D. Hardin, Jr. (1982), On the spectral representation of symmetric stable processes, J. Multivariate Anal. 12, 385-401.
  • J. Lamperti (1958), On the isometries of certain function spaces, Pacific J. Math. 8, 459-466.
  • G. Maruyama (1970), Infinitely divisible processes, Probab. Theory Appl. 15, 3-23.
  • D. S. Ornstein (1960), On invariant measures, Bull. Amer. Math. Soc. 66, 297-300.
  • J. Rosinski (1994), On uniqueness of the spectral representation of stable processes, J. Theor. Probab. 7, 551-563.
Typ dokumentu
Bibliografia
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bwmeta1.element.bwnjournal-article-smv114i3p275bwm
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