Applying Birkhoff's ergodic theorem to a stationary process (a stochastic process with invariant transformation $\theta$, the shift-operator – $\theta(x_1, x_2, x_3,\dotsc) = (x_2, x_3, \dotsc)$) one has a result of the form
$ \frac{X_0 + \dotsb + X_{n-1}}{n} \to \mathbb{E}[ X_0 \mid J_{\theta}]$ a.s.
where the right hand side is the conditional expectation of $X_0$ concerning the sub-$\sigma$-algebra of $\theta$-invariant sets… How do these sets in $J_{\theta}$ look like? (I knew that $\mathbb{P}(A) \in \{0,1\}$ in the ergodic case, but I don't want to demand ergodicity for now).
Best Answer
One asks that $A$ is such that $(x_n)_{n\geqslant1}\in A$ if and only if $(x_{n+1})_{n\geqslant1}\in A$. The surprising fact is that such events $A$ do exist, whose definition is not trivial, and in fact a lot of them. For example, $A$ is invariant as soon as the fact that $(x_n)_{n\geqslant1}\in A$ depends only on: