Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes

DOI10.1016/J.JMVA.2017.12.001MaRDI QIDQ1742730zbMATH OpenOpenAlexFDO

Authors Yuzhen Zhou, Y. Xiao

Publication date 12 April 2018

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1609.03470, https://digitalcommons.unl.edu/mathfacpub/111

zbMATH Keywords

bivariate Gaussian processbivariate Matérn fieldfractal indicesjoint asymptotics

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Inference from spatial processes (62M30) Random fields; image analysis (62M40)

Abstract: Multivariate (or vector-valued) processes are important for modeling multiple variables. The fractal indices of the components of the underlying multivariate process play a key role in characterizing the dependence structures and statistical properties of the multivariate process. In this paper, under the infill asymptotics framework, we establish joint asymptotic results for the increment-based estimators of bivariate fractal indices. Our main results quantitatively describe the effect of the cross-dependence structure on the performance of the estimators.

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Cited in

(5)

• Statistical test for anomalous diffusion based on empirical anomaly measure for Gaussian processes
• Asymptotics of bivariate local Whittle estimators with applications to fractal connectivity
• Hypothesis testing for the smoothness parameter of Matérn covariance model on a regular grid
• ESTIMATION OF FRACTAL INDEX AND FRACTAL DIMENSION OF A GAUSSIAN PROCESS BY COUNTING THE NUMBER OF LEVEL CROSSINGS
• Semiparametric estimation and inference on the fractal index of Gaussian and conditionally Gaussian time series data

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