Convergence Arguments to Bridge Cauchy and Mat\'ern Covariance Functions
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Publication:6405894
DOI10.1007/S00362-023-01400-9arXiv2207.11891MaRDI QIDQ6405894FDOQ6405894
Authors: Tarik Faouzi, Emilio Porcu, Igor Kondrashuk, Moreno Bevilacqua 
Publication date: 24 July 2022
Abstract: The Mat'ern and the Generalized Cauchy families of covariance functions have a prominent role in spatial statistics as well as in a wealth of statistical applications. The Mat'ern family is crucial to index mean-square differentiability of the associated Gaussian random field; the Cauchy family is a decoupler of the fractal dimension and Hurst effect for Gaussian random fields that are not self-similar. Our effort is devoted to prove that a scale-dependent family of covariance functions, obtained as a reparameterization of the Generalized Cauchy family, converges to a particular case of the Mat'ern family, providing a somewhat surprising bridge between covariance models with light tails and covariance models that allow for long memory effect.
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