Sufficient conditions for the filtration of a stationary processes to be standard

Abstract

Let $X$ be a stationary process with values in some $\sigma$-finite measured state space $(E,\mathcal{E},\pi )$, indexed by $\mathbb{Z}$. Call ${\mathcal{F}}^X$ its natural filtration. In \cite{ceillierstationary}, sufficient conditions were given for ${\mathcal{F}}^X$ to be standard when $E$ is finite. The proof of this result used a coupling of all probabilities on the finite set $E$. In this paper, we construct a coupling of all laws having a density with regard to $\pi$, which is much more involved. Then, we provide sufficient conditions for ${\mathcal{F}}^X$ to be standard, generalizing those in \cite{ceillierstationary}.

23 pages, 1 figure

References in corpus (2)

• Processes with Long Memory: Regenerative Construction and Perfect Simulation
• Stationary processes whose filtrations are standard