An alternative proof of the uniqueness of martingale-coboundary decomposition of strictly stationary processes
Takehiko Morita (2019)
Commentationes Mathematicae Universitatis Carolinae
Similarity:
P. Samek and D. Volný, in the paper ``Uniqueness of a martingale-coboundary decomposition of a stationary processes" (1992), showed the uniqueness of martingale-coboundary decomposition of strictly stationary processes. The original proof is given by reducing the problem to the ergodic case. In this note we give another proof without such reduction.