On measure-preserving transformations and doubly stationary symmetric stable processes
Tom 114 / 1995
Streszczenie
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.
