Limit theorems for filtered long-range dependent random fields

DOI10.1080/17442508.2019.1691211MaRDI QIDQ5086532zbMATH OpenOpenAlexFDO

Authors Tareq Alodat, Nikolai N. Leonenko, Andriy Olenko

Publication date 5 July 2022

Published in Stochastics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1812.07290, https://orca.cardiff.ac.uk/126694/7/GSSR-2019-0078.R1_Proof_hi-2.pdf

zbMATH Keywords

long-range dependenceHurst parameternon-central limit theoremself-similar processesfiltered random fields

Mathematics Subject Classification ID

Random fields (60G60) Central limit and other weak theorems (60F05) Signal detection and filtering (aspects of stochastic processes) (60G35) Functional limit theorems; invariance principles (60F17)

Abstract: This article investigates general scaling settings and limit distributions of functionals of filtered random fields. The filters are defined by the convolution of non-random kernels with functions of Gaussian random fields. The case of long-range dependent fields and increasing observation windows is studied. The obtained limit random processes are non-Gaussian. Most known results on this topic give asymptotic processes that always exhibit non-negative auto-correlation structures and have the self-similar parameter $Hin(frac12,1)$. In this work we also obtain convergence for the case $Hin(0,frac12)$ and show how the Hurst parameter $H$ can depend on the shape of the observation windows. Various examples are presented.

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Cited in

(5)

• Limit theorems for excursion sets of subordinated Gaussian random fields with long-range dependence
• On stationarity properties of generalized Hermite-type processes
• Scaling limits for random fields with long-range dependence
• Macroscaling limit theorems for filtered spatiotemporal random fields
• Convergence rate analysis in limit theorems for nonlinear functionals of the second Wiener chaos

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