Aggregation of autoregressive random fields and anisotropic long-range dependence

DOI10.3150/15-BEJ733MaRDI QIDQ726745zbMATH OpenFDO

Authors Donata Puplinskaitė, Donatas Surgailis

Publication date 14 July 2016

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1303.2209, https://projecteuclid.org/euclid.bj/1462297685

zbMATH Keywords

\(\alpha\)-stable mixed moving averageanisotropic long-range dependenceautoregressive random fieldslattice Green functionoperator scaling random fieldscaling transition

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Random fields (60G60) Central limit and other weak theorems (60F05) Stationary stochastic processes (60G10)

Abstract: We introduce the notions of scaling transition and distributional long-range dependence for stationary random fields $Y$ on $mathbb{Z}^2$ whose normalized partial sums on rectangles with sides growing at rates $O(n)$ and $O(n^{gamma})$ tend to an operator scaling random field $V_{gamma}$ on $mathbb{R}^2$, for any $gamma>0$. The scaling transition is characterized by the fact that there exists a unique $gamm{a}_0>0$ such that the scaling limits $V_{gamma}$ are different and do not depend on $gamma$ for $gamma>gamm{a}_0$ and $gamma<gamm{a}_0$. The existence of scaling transition together with anisotropic and isotropic distributional long-range dependence properties is demonstrated for a class of $alpha$-stable $(1<alphale2)$ aggregated nearest-neighbor autoregressive random fields on $mathbb{Z}^2$ with a scalar random coefficient $A$ having a regularly varying probability density near the "unit root" $A=1$.

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Cited in

(21)

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