Abstract
Our work is motivated by the study of empirical processes (such as flicker noise) that occur in stable systems yet give rise to observations with seemingly divergent time averages. Stationary models for such processes do not exist in the domain of numerical probability, as the ergodic theorems dictate the convergence of time averages of stationary and bounded processes. This has led us to investigate such models in the wider framework of interval-valued probability. In this paper we construct interval-valued probabilities on the space of infinite binary sequences that combine properties of (i) strict stationarity, (ii) unicity of extension from the algebra of cylinder sets to a wider collection containing salient asymptotic events, and (iii) almost sure support of divergence of time averages. These properties are not shared by conventional stochastic models.
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Papamarcou, A., Fine, T.L. Stationarity and almost sure divergence of time averages in interval-valued probability. J Theor Probab 4, 239–260 (1991). https://doi.org/10.1007/BF01258736
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DOI: https://doi.org/10.1007/BF01258736