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arXiv · 1903.11905

Codifference can detect ergodicity breaking and non-Gaussianity

Jakub Slezak·Ralf Metzler·Marcin Magdziarz
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Abstract

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 models which are important in contemporary physics, biology and financial engineering. We prove that the codifference detects forms of dependence and ergodicity breaking which are not visible from analysing the covariance and correlation functions. We also discuss a related measure of dispersion, which is a non-linear analogue of the mean squared displacement.

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Jakub Slezak, Ralf Metzler, Marcin Magdziarz. 2019-03-28. Codifference can detect ergodicity breaking and non-Gaussianity. https://doi.org/10.1088/1367-2630%2Fab13f3

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