Self-Similarity and Lamperti Transformation for Random Fields

DOI10.1080/15326340701471018zbMath1125.60046MaRDI QIDQ5421582

Murad S. Taqqu, Marc G. Genton, Olivier Perrin

Publication date: 24 October 2007

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/2302/1/taqqu_2302.pdf

zbMATH Keywords

reducibility; self-similarity; random field; local stationarity; fractional Brownian sheet; Lamperti transformation; Lévy fractional Brownian random field

Mathematics Subject Classification ID

60G60: Random fields

60G18: Self-similar stochastic processes

Related Items

Lamperti-Type Theorems for Random Fields, Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments, Example of a Gaussian Self-Similar Field With Stationary Rectangular Increments That Is Not a Fractional Brownian Sheet, Estimation of hurst parameter and minimum variance spectrum, Multi-scale invariant fields: estimation and prediction, Testing self-similarity through Lamperti transformations, Some remarks on definitions of memory for stationary random processes and fields, On the Lamperti transform of the fractional Brownian sheet, Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure, Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\), Anisotropic scaling limits of long-range dependent random fields, Stationary and multi-self-similar random fields with stochastic volatility, Probability distributions of extremes of self-similar Gaussian random fields, Sample Paths Properties of the Set-Indexed Fractional Brownian Motion

Uses Software

• longmemo

Cites Work

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