Scaling limits for random fields with long-range dependence

被引:28
|
作者
Kaj, Ingemar
Leskela, Lasse
Norros, Ilkka
Schmidt, Volker
机构
[1] Uppsala Univ, Dept Math, S-75106 Uppsala, Sweden
[2] Aalto Univ, Inst Math, FI-02015 Helsinki, Finland
[3] Univ Ulm, Dept Stochast, D-89069 Ulm, Germany
来源
ANNALS OF PROBABILITY | 2007年 / 35卷 / 02期
关键词
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.
引用
收藏
页码:528 / 550
页数:23
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