TY  - JOUR
A1  - Ślęzak, Jakub
A1  - Metzler, Ralf
A1  - Magdziarz, Marcin
T1  - Codifference can detect ergodicity breaking and non-Gaussianity
JF  - New Journal of Physics
N2  - 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 nonlinear analogue of the mean squared displacement.
KW  - diffusion
KW  - stochastic time series
KW  - anomalous diffusion
Y1  - 2019
U6  - https://doi.org/10.1088/1367-2630/ab13f3
SN  - 1367-2630
VL  - 21
PB  - Deutsche Physikalische Gesellschaft
CY  - Bad Honnef
ER  -