Nonexistence of fractional Brownian fields indexed by cylinders

DOI10.1214/18-EJP256MaRDI QIDQ2316600zbMATH OpenFDO

Authors Nil Venet

Publication date 6 August 2019

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05983, https://projecteuclid.org/euclid.ejp/1562119475

zbMATH Keywords

fractional Brownian motionpositive definite kernelrandom fieldRiemannian manifoldvalid covariance

Mathematics Subject Classification ID

Fractional processes, including fractional Brownian motion (60G22) Random fields (60G60)

Abstract: We show in this paper that there exists no $H$-fractional Brownian field indexed by the cylinder $mathbb{S}^{1}imes]0,varepsilon[$ endowed with its product distance $d$ for any $varepsilon>0$ and $H>0$. This is equivalent to say that $d^{2H}$ is not a negative definite kernel, which also leaves us without a proof that many classical stationary kernels, such that the Gaussian and exponential kernels, are positive definite kernels -- or covariances -- on the cylinder. We generalise this result from the cylinder to any Riemannian Cartesian product with a minimal closed geodesic. We also investigate the case of the cylinder endowed with a distance asymptotically close to the product distance in the neighbourhood of a circle. Another consequence is the discontinuity of the set of $H$ such that $d^{2H}$ is negative definite with respect to the Gromov-Hausdorff convergence on compact metric spaces. These results extend our comprehension of kernel construction on metric spaces, and in particular call for alternatives to classical kernels to allow for Gaussian modelling and kernel method learning on cylinders.

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Cited in

(5)

• Notes on spherical bifractional Brownian motion
• Nonexistence of fractional Brownian fields indexed by cylinders
• Multifractional Brownian fields indexed by metric spaces with distances of negative type
• Vector random fields on the probability simplex with metric-dependent covariance matrix functions
• Metric statistics: exploration and inference for random objects with distance profiles

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