Codifference can detect ergodicity breaking and non-Gaussianity
Codifference can detect ergodicity breaking and non-Gaussianity
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Publisher
Bristol: IOP Publishing
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Language
English
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Publisher
Bristol: IOP Publishing
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Contents
We show that the codifference is a useful tool in studying the ergodicity breaking and non-Gaussianity properties of stochastic time series. While the codifference is a measure of dependence that was previously studied mainly in the context of stable processes, we here extend its range of applicability to random-parameter and diffusing-diffusivity...
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Full title
Codifference can detect ergodicity breaking and non-Gaussianity
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TN_cdi_proquest_journals_2312366831
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2312366831
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ISSN
1367-2630
E-ISSN
1367-2630
DOI
10.1088/1367-2630/ab13f3
