Invariance principles for operator-scaling Gaussian random fields

DOI10.1214/16-AAP1229MaRDI QIDQ2013581zbMATH OpenFDO

Authors Hermine Biermé, Olivier Durieu, Yizao Wang

Publication date 8 August 2017

Published in The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1504.04891, https://projecteuclid.org/euclid.aoap/1495764377

zbMATH Keywords

long-range dependenceinvariance principleoperator-scaling Gaussian random fields

Mathematics Subject Classification ID

Gaussian processes (60G15) Random fields (60G60) Fractional processes, including fractional Brownian motion (60G22) Functional limit theorems; invariance principles (60F17) Self-similar stochastic processes (60G18)

Abstract: Recently, Hammond and Sheffield introduced a model of correlated random walks that scale to fractional Brownian motions with long-range dependence. In this paper, we consider a natural generalization of this model to dimension $dgeq2$. We define a $mathbb{Z}^d$-indexed random field with dependence relations governed by an underlying random graph with vertices $mathbb{Z}^d$, and we study the scaling limits of the partial sums of the random field over rectangular sets. An interesting phenomenon appears: depending on how fast the rectangular sets increase along different directions, different random fields arise in the limit. In particular, there is a critical regime where the limit random field is operator-scaling and inherits the full dependence structure of the discrete model, whereas in other regimes the limit random fields have at least one direction that has either invariant or independent increments, no longer reflecting the dependence structure in the discrete model. The limit random fields form a general class of operator-scaling Gaussian random fields. Their increments and path properties are investigated.

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• Operator-scaling Gaussian random fields via aggregation
• Local scaling limits of Lévy driven fractional random fields
• Gaussian fields satisfying simultaneous operator scaling relations
• From random partitions to fractional Brownian sheets

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