Example of a Gaussian Self-Similar Field With Stationary Rectangular Increments That Is Not a Fractional Brownian Sheet

DOI10.1080/07362994.2014.1002042zbMath1316.60077arXiv1403.1215MaRDI QIDQ5256267

Vitalii Makogin, Yuliya S. Mishura

Publication date: 22 June 2015

Published in: Stochastic Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.1215

zbMATH Keywords

covariance function; fractional Brownian sheet; Lamperti transformation; Gaussian self-similar random field; stationary rectangular increments

Mathematics Subject Classification ID

60G60: Random fields

60G15: Gaussian processes

60G22: Fractional processes, including fractional Brownian motion

60G10: Stationary stochastic processes

42A82: Positive definite functions in one variable harmonic analysis

60G18: Self-similar stochastic processes

Related Items

On stationarity properties of generalized Hermite-type processes, Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments, Multi-scale invariant fields: estimation and prediction, On the Lamperti transform of the fractional Brownian sheet

Cites Work

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