Approximating a harmonizable isotropic random field
The two-dimensional random field \(X:\mathbb{R}^2\to L^2(P)\) with spectral representation NEWLINE\[NEWLINEX(t)= X(\|t\|,\theta)= \sum^\infty_{m=0} \sqrt{\nu_m} I_m(\lambda\|t\|) [\eta_{m_1}\cos m\theta+ \eta_{m_2}\sin m\theta],NEWLINE\]NEWLINE where \(\nu_m=1\) for \(m=0\) and \(\nu_m=2\) for \(m\neq 0\), \(I_\nu(\cdot)\) is the Bessel function of the first kind, and \(\{\eta_{m_1}\}\) and \(\{\eta_{m_2}\}\) are two independent sequences of random variables such that for each on \(E\eta_{m_1}= E\eta_{m_2}= 0\), \(E\eta_{m_i} \eta_{s_j}= \delta^s_m\delta^j_i\) is strongly harmonizable with zero mean and a covariance function NEWLINE\[NEWLINE\begin{aligned} \Gamma(s,t)&=EX(\|s\|,\theta_1)X (\|t\|,\theta_2)\\ &= 2\pi \int^\infty_0 \int^\infty_0 I_0 \Bigl(\sqrt{\lambda^2\|s\|^2+ (\lambda')^2\|t\|^2- 2\lambda\lambda' \cos(\theta_1- \theta_2)} f_1(\lambda) f_2(\lambda)\Bigr) d\lambda d\lambda'.\end{aligned}NEWLINE\]NEWLINE If \(\int^\infty_0 \int^\infty_0 \lambda\lambda' f_1(\lambda) f_2(\lambda) d\lambda d\lambda'< \infty\), then the partial sum \(X_N(t)\) converges in the \(L^2(P)\)-sense to \(X(t)\) as \(N\to\infty\). This approximation is useful for numerical simulation of such a field.
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