A deep look into the Dagum family of isotropic covariance functions

DOI10.1017/JPR.2021.103MaRDI QIDQ5049894zbMATH OpenOpenAlexWikidataFDO

Authors Tarik Faouzi, Emilio Porcu, Anatoliy Malyarenko, Igor Kondrashuk

Publication date 14 November 2022

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

Full work available at URL https://arxiv.org/abs/2106.14353

zbMATH Keywords

Hankel transformsMellin-Barnes transformspositive definitespectral theory

Mathematics Subject Classification ID

Special integral transforms (Legendre, Hilbert, etc.) (44A15) Random fields (60G60)

Abstract: The Dagum family of isotropic covariance functions has two parameters that allow for decoupling of the fractal dimension and Hurst effect for Gaussian random fields that are stationary and isotropic over Euclidean spaces. Sufficient conditions that allow for positive definiteness in Rd of the Dagum family have been proposed on the basis of the fact that the Dagum family allows for complete monotonicity under some parameter restrictions. The spectral properties of the Dagum family have been inspected to a very limited extent only, and this paper gives insight into this direction. Specifically, we study finite and asymptotic properties of the isotropic spectral density (intended as the Hankel transform) of the Dagum model. Also, we establish some closed forms expressions for the Dagum spectral density in terms of the Fox{Wright functions. Finally, we provide asymptotic properties for such a class of spectral densities.

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Cited in

(5)

• The Dagum family of isotropic correlation functions
• New decouplers of fractal dimension and Hurst effects
• Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos
• Fractal and Hurst effects in solenoidal and irrotational vector random fields
• A covariance function with fractal, Hurst, and scale-bridging effects for random surfaces and turbulence

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• DLMF

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