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Invariance properties of random vectors and stochastic processes based on the zonoid concept

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  • Molchanov, Ilga
  • Schmutz, Michael
  • Stucki, Kaspar

Abstract

Two integrable random vectors ξ and ξ* in IRd are said to be zonoid equivalent if, for each u∈IRd, the scalar products 〈ξ,u〉 and 〈ξ*,u〉 have the same first absolute moments. The paper analyses stochastic processes whose finite-dimensional distributions are zonoid equivalent with respect to time shift (zonoid stationarity) and permutation of time moments (swap-invariance). While the first concept is weaker than the stationarity, the second one is a weakening of the exchangeability property. It is shown that nonetheless the ergodic theorem holds for swap invariant sequences and the limits are characterized.

Suggested Citation

  • Molchanov, Ilga & Schmutz, Michael & Stucki, Kaspar, 2012. "Invariance properties of random vectors and stochastic processes based on the zonoid concept," DES - Working Papers. Statistics and Econometrics. WS ws122014, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws122014
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    References listed on IDEAS

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    1. Tehranchi, Michael R., 2009. "Symmetric martingales and symmetric smiles," Stochastic Processes and their Applications, Elsevier, vol. 119(10), pages 3785-3797, October.
    2. Ilya Molchanov & Michael Schmutz, 2009. "Exchangeability type properties of asset prices," Papers 0901.4914, arXiv.org, revised Apr 2011.
    3. Ernst Eberlein & Antonis Papapantoleon & Albert N. Shiryaev, 2008. "Esscher transform and the duality principle for multidimensional semimartingales," Papers 0809.0301, arXiv.org, revised Nov 2009.
    4. Karl Mosler, 2003. "Central Regions and Dependency," Methodology and Computing in Applied Probability, Springer, vol. 5(1), pages 5-21, March.
    5. Molchanov, Ilya, 2009. "Convex and star-shaped sets associated with multivariate stable distributions, I: Moments and densities," Journal of Multivariate Analysis, Elsevier, vol. 100(10), pages 2195-2213, November.
    6. Stoev, Stilian A., 2008. "On the ergodicity and mixing of max-stable processes," Stochastic Processes and their Applications, Elsevier, vol. 118(9), pages 1679-1705, September.
    7. Hardin, Clyde D., 1982. "On the spectral representation of symmetric stable processes," Journal of Multivariate Analysis, Elsevier, vol. 12(3), pages 385-401, September.
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