Limit theorems for random fields with singular spectrum
This book is devoted to an investigation of the basic problems of the spectral theory of homogeneous and isotropic random fields which are characterized by certain singular properties (e.g., unboundedness, or vanishing) of their spectral densities. These random fields are called the random fields with singular spectrum, long-memory fields, random fields with long-range dependence, fields with slowly decaying correlations or strongly dependent random fields by various authors. This phenomenon has been observed empirically by many scientists long before suitable mathematical models were known. The methods and results differ significantly from the theory of weakly dependent random fields. The book is organized as follows. Chapter 1: Second order analysis of random fields. Chapter 2: Limit theorems for nonlinear transformations of random fields. Chapter 3: Asymptotic distributions of geometric functionals of random fields. Chapter 4: Limit theorems for solutions of the Burgers' equation with random data. Chapter 5: Statistical problems for random fields with singular spectrum. Chapter 1 presents basic concepts of the spectral theory of homogeneous and isotropic random fields on the Euclidean space \(R^n\), isotropic random fields on \(R^n\), isotropic random fields on spheres in \(R^n\). Models of random processes and fields with singular spectrum are presented. The Tauberian and Abelian theorems for nonintegrable correlation functions of homogeneous and isotropic random fields with detailed proofs and computations are presented. In the second chapter limit theorems for nonlinear functionals of random fields with long-range dependence are proved. Reduction conditions are provided under which the limit distributions of local functionals of random fields coincide with corresponding distributions of the functionals of more simple structures. Chapter 3 summarizes some limit theorems for geometric functionals of the random fields with long-range dependence. Let \(\xi (x)\), \(x \in R^n\), be a homogeneous isotropic random field with \(E\xi (x)=0\) and covariance function \(B(\|x\|)\) (\(B(\|x\|)\to\infty\) as \(\|x\|\to\infty\)), \(v(r)\) be a ball of radius \(r\), \(s(r)\) be a sphere in \(R^n\) of radius \(r\), \(d\sigma (x)\) be an element of the Lebesgue measure on the sphere \(s(r)\). Limit distributions as \(r\to\infty\) of centered and normed functionals \[ V_1(r)=\int_{v(r)}\max\{0,\xi(x)\} dx, \quad V_2(r)=\int_{v(r)}|\xi(x)|dx, \] \[ W_1(r)=\int_{v(r)} \max\{0,\xi(x)-a(r)\} dx,\quad W_2(r)=\int_{v(r)} \max\{0,|\xi(x)|-a(r)\} dx, \] \[ U_1(r)=\int_{s(r)}^{v(r)}\chi\{\xi(x)>a(r)\} d\sigma(x) \] are investigated. Limiting distributions of the sojourn measures of vector Gaussian fields are described. Asymptotic normality of random ``area surface of planar Gaussian field is established. The results of limit distributions for local times of Gaussian stochastic processes with long-range dependence obtained by \textit{S. Berman} [Stochastic Processes Appl. 12, 1-26 (1981; Zbl 0471.60082)] to random fields are generalized. Limit distributions as \(t \to\infty\) of the solutions of Burgers' equation with random data via parabolic and hyperbolic rescaling are presented in Chapter 4. The author considers the \(n\)-dimensional Burgers' equation \[ \frac{du}{dt}+(u,\bigtriangledown)u=\mu\Delta u\quad (\mu>0) \] subject to the condition \(u(0,x)=u_0(x)=\bigtriangledown\eta (x)\) of the gradient form. The equation describes time evolution of the velocity field \[ u(t,x)=[u_1(t,x),\dots ,u_n(t,x)]',\quad (t,x)\in (0,\infty)\times R^n. \] The potential \(\eta(x), x\in R^n,\) is scalar field, \(\bigtriangledown\) denotes the gradient operator in \(R^n\), and \(\Delta\) stands for the \(n\)-dimensional Laplacian. Chapter 5 presents some problems of statistical analysis of random fields with singular spectrum. The asymptotic behaviour of the least square estimates of regression coefficients is studied. The asymptotic distributions of normalized estimates for the covariance function of Gaussian and \(\chi\)-squared random fields are studied. Some surprising results of efficiency of the least square estimate of regression coefficient of isotropic random field observed on a sphere are presented. A historical survey and the modern state of investigations on this topic are given. A great number of references (421 items) is presented in this book. This interesting book is the first monograph, in which limit theorems and statistical problems for homogeneous and isotropic random fields with singular spectrum are systematically investigated.
- Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure
- Statistical inference for reciprocal gamma diffusion process
- Harmonic analysis of random fractional diffusion-wave equations.
- On the rate of convergence to the normal law for LSE in multivariate continuous regression model with long-range dependence stationary errors.
- Asymptotic inference for LSE in multivariate continuous regression models with long-memory random fields.
- Asymptotic properties of LSE of regression coefficients on singular random fields observed on a sphere
- Scaling laws for fractional diffusion-wave equations with singular data
- On the exactness of normal approximation of LSE of regression coefficient of long-memory random fields
- Non-Gaussian scenarios for the heat equation with singular initial conditions
- Convection-diffusion equations with random initial conditions
- Matérn class tensor-valued random fields and beyond
- Quantitative central limit theorems of spherical sojourn times of isotropic Gaussian fields
- On the asymptotic distribution of the Koenker-Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise
- Random fields and the limit of their spectral densities: existence and bounds
- The empirical process on Gaussian spherical harmonics.
- On a class of minimum contrast estimators for fractional stochastic processes and fields
- Burgers turbulence initialized by a regenerative impulse.
- Asymptotic behavior of functionals of cyclic long-range dependent random fields
- Needlet-Whittle estimates on the unit sphere
- Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis
- Spectral analysis of fractional hyperbolic diffusion equations with random data
- Estimates for functionals of solutions to higher-order heat-type equations with random initial conditions
- Reduction principle for functionals of strong-weak dependent vector random fields
- Modeling temporally uncorrelated components of complex-valued stationary processes
- Reduction principle for functionals of vector random fields
- Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
- Asymptotic normality of the residual correlogram in the continuous-time nonlinear regression model
- Asymptotic expansion of the moments of correlogram estimator for the random-noise covariance function in the nonlinear regression model
- Random spherical hyperbolic diffusion
- Anisotropic scaling limits of long-range dependent random fields
- Stochastic wave propagation in Maxwell's equations
- Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
- Distribution of levels in high-dimensional random landscapes
- Computing functional estimators of spatiotemporal long-range dependence parameters in the spectral-wavelet domain
- Scaling laws for the multidimensional Burgers equation with quadratic external potential
- Gaussian semiparametric estimates on the unit sphere
- On nonlinear functionals of random spherical eigenfunctions
- Semiparametric estimation of spatial long-range dependence
- Semiparametric analysis of long-range dependence in nonlinear regression
- High-resolution asymptotics for the angular bispectrum of spherical random fields
- Spectral properties of Burgers and KPZ turbulence
- Testing for non-Gaussianity on cosmic microwave background radiation: a review.
- Tauberian and Abelian theorems for long-range dependent random fields
- The nonparametric estimation of long memory spatio-temporal random field models
- High-frequency asymptotics for Lipschitz-Killing curvatures of excursion sets on the sphere
- Least-squares estimation of multifractional random fields in a Hilbert-valued context
- Some inequalities of the spectral theory of random fields
- An inverse gamma activity time process with noninteger parameters and a self-similar limit
- Limit theorems for excursion sets of stationary random fields
- Consistency of quantile estimators in regression models with long-range dependent noise
- Weak convergence of weighted additive functionals of long-range dependent fields
- Increasing domain asymptotics for the first Minkowski functional of spherical random fields
- scientific article; zbMATH DE number 3858094 (Why is no real title available?)
- Regression methods for testing Gaussianity on a spherical random field
- Parameter Estimation of Self-Similar Spatial Covariogram Models
- Scaling limits for some P.D.E. Systems with random initial conditions
- Sojourn measures of Student and Fisher-Snedecor random fields
- Gaussian scenario for the heat equation with quadratic potential and weakly dependent data with applications
- A fractional stochastic evolution equation driven by fractional Brownian motion
- Non-central limit theorems and convergence rates
- Multi-scaling limits for time-fractional relativistic diffusion equations with random initial data
- On local slope estimation in partial linear models under Gaussian subordination
- Asymptotics of the sample mean and sample covariance of long-range-dependent series
- About approximation of 3-D random fields and statistical simulation
- On the rate of convergence to Rosenblatt-type distribution
- On the limiting behaviour of needlets polyspectra
- Series representations and simulations of isotropic random fields in the Euclidean space
- Large deviations of the correlogram estimator of the random noise covariance function in the nonlinear regression model
- Limit theorems for filtered long-range dependent random fields
- Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence
- Asymptotic analysis of the mean squared displacement under fractional memory kernels
- Non-central limit theorems for functionals of random fields on hypersurfaces
- Long range dependence of heavy-tailed random functions
- On LSE in regression model for long-range dependent random fields on spheres
- Multi-scaling limits for relativistic diffusion equations with random initial data
- Ergodicity and Gaussianity for spherical random fields
- Macroscaling limit theorems for filtered spatiotemporal random fields
- Spatial scalings for randomly initialized heat and Burgers equations with quadratic potentials
- A limit theorem for random fields with a singularity in the spectrum
- Student processes
- Burgers' turbulence problem with linear or quadratic external potential
- Sojourn functionals for spatiotemporal Gaussian random fields with long memory
- Central and Noncentral Limit Theorems Arising from the Scattering Transform and Its Neural Activation Generalization
- On fractional spherically restricted hyperbolic diffusion random field
- Asymptotic spectral theory for spatial data
- Automatic spectral density estimation for random fields on a lattice via bootstrap
- Group representations and high-resolution central limit theorems for subordinated spherical random fields
- Langevin equation with two fractional orders
- Scaling limits of nonlinear functions of random grain model, with application to Burgers' equation
- Limit theorems for \(p\)-domain functionals of stationary Gaussian fields
- Long memory conditional random fields on regular lattices
- Three central limit theorems for the unbounded excursion component of a Gaussian field
- Multiscaling limit theorems for stochastic FPDE with cyclic long-range dependence
- Fractal and Hurst effects in solenoidal and irrotational vector random fields
- Linear least squares estimation of regression models for two-dimensional random fields
- General spatio-temporal factor models for high-dimensional random fields on a lattice
- High-level moving excursions for spatiotemporal Gaussian random fields with long range dependence
- Aggregation of autoregressive random fields and anisotropic long-range dependence
- On asymptotic behavior of solutions to random fractional Riesz-Bessel equations with cyclic long memory initial conditions
- Multiscale asymptotic analysis of kernel-smoothed solutions to fractional Riesz-Bessel equations with random initial conditions
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