Operator scaling stable random fields
A scalar valued random field { X ( x ) } x ∈ R d is called operator-scaling if for some d × d matrix E with positive real parts of the eigenvalues and some H > 0 we have { X ( c E x ) } x ∈ R d = f . d . { c H X ( x ) } x ∈ R d for all c > 0 , where = f . d . denotes equality of all finite-di...
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Veröffentlicht in: | Stochastic processes and their applications 2007-03, Vol.117 (3), p.312-332 |
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Hauptverfasser: | , , |
Format: | Artikel |
Sprache: | eng |
Schlagworte: | |
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Zusammenfassung: | A scalar valued random field
{
X
(
x
)
}
x
∈
R
d
is called
operator-scaling if for some
d
×
d
matrix
E
with positive real parts of the eigenvalues and some
H
>
0
we have
{
X
(
c
E
x
)
}
x
∈
R
d
=
f
.
d
.
{
c
H
X
(
x
)
}
x
∈
R
d
for all
c
>
0
,
where
=
f
.
d
.
denotes equality of all finite-dimensional marginal distributions. We present a moving average and a harmonizable representation of stable operator scaling random fields by utilizing so called
E
-homogeneous functions
φ
, satisfying
φ
(
c
E
x
)
=
c
φ
(
x
)
. These fields also have stationary increments and are stochastically continuous. In the Gaussian case, critical Hölder-exponents and the Hausdorff-dimension of the sample paths are also obtained. |
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ISSN: | 0304-4149 1879-209X |
DOI: | 10.1016/j.spa.2006.07.004 |