long-range dependence;
self-similar random field;
fractional Brownian motion;
fractional Gaussian noise;
stable random measure;
Riesz energy;
D O I:
10.1214/009117906000000700
中图分类号:
O21 [概率论与数理统计];
C8 [统计学];
学科分类号:
020208 ;
070103 ;
0714 ;
摘要:
This paper studies the limits of a spatial random field generated by uniformly scattered random sets, as the density lambda of the sets grows to infinity and the mean volume rho of the sets tends to zero. Assuming that the volume distribution has a regularly varying tail with infinite variance, we show that the centered and renormalized random field can have three different limits, depending on the relative speed at which lambda and rho are scaled. If lambda grows much faster than rho shrinks, the limit is Gaussian with long-range dependence, while in the opposite case, the limit is independently scattered with infinite second moments. In a special intermediate scaling regime, there exists a nontrivial limiting random field that is not stable.
机构:
Vilnius Univ, Fac Math & Informat, Naugarduko Str 24, LT-03225 Vilnius, LithuaniaVilnius Univ, Fac Math & Informat, Naugarduko Str 24, LT-03225 Vilnius, Lithuania
机构:
Vilnius Univ, Akad 4, LT-08663 Vilnius, Lithuania
Univ Nantes, Lab Math Jean Leray, F-44322 Nantes 3, FranceVilnius Univ, Akad 4, LT-08663 Vilnius, Lithuania
Pilipauskaite, Vytaute
Surgailis, Donatas
论文数: 0引用数: 0
h-index: 0
机构:
Vilnius Univ, Akad 4, LT-08663 Vilnius, LithuaniaVilnius Univ, Akad 4, LT-08663 Vilnius, Lithuania
机构:
Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, LithuaniaVilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania
机构:
Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, LithuaniaVilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania
Puplinskaite, Donata
Surgailis, Donatas
论文数: 0引用数: 0
h-index: 0
机构:
Vilnius Univ, Inst Math & Informat, Akademijos 4, LT-08663 Vilnius, LithuaniaVilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania