Aggregation of autoregressive random fields and anisotropic long-range dependence

DOI10.3150/15-BEJ733zbMATH Open1356.60082arXiv1303.2209MaRDI QIDQ726745FDOQ726745

Authors: Donata Puplinskaitė, Donatas Surgailis 

Publication date: 14 July 2016

Published in: Bernoulli (Search for Journal in Brave)

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" $A=1$.

Full work available at URL: https://arxiv.org/abs/1303.2209

Recommendations

• Aggregation of isotropic autoregressive fields
• On a class of random field models which allows long range dependence
• Anisotropic scaling limits of long-range dependent random fields
• scientific article; zbMATH DE number 3953991
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Vector random fields with long-range dependence
• Parameter estimation of random fields with long-range dependence

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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Large sample inference for long memory processes
• Long-memory processes. Probabilistic properties and statistical methods
• Non-central limit theorems for non-linear functional of Gaussian fields
• Inequalities for the $r$th Absolute Moment of a Sum of Random Variables, $1 \leqq r \leqq 2$
• Long memory relationships and the aggregation of dynamic models
• Possible long-range dependence in fractional random fields.
• Is network traffic approximated by stable Lévy motion or fractional Brownian motion?
• EXPLICIT CONSTRUCTION OF OPERATOR SCALING GAUSSIAN RANDOM FIELDS
• Title not available (Why is that?)
• Title not available (Why is that?)
• Fractional elliptic, hyperbolic and parabolic random fields
• Operator scaling stable random fields
• Les ondelettes à la conquête du drap brownien fractionnaire. (Wavelets conquering the fractional Brownian field)
• Contemporaneous aggregation of linear dynamic models in large economies
• Stability of random coefficient ARCH models and aggregation schemes
• Aggregation and memory of models of changing volatility
• Semi-Stable Stochastic Processes
• Convergence of scaled renewal processes and a packet arrival model
• Tail probabilities for infinite series of regularly varying random vectors
• Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes
• Aggregation of a random-coefficient AR(1) process with infinite variance and idiosyncratic innovations
• Aggregation of random-coefficient AR(1) process with infinite variance and common innovations
• Scaling transition for long-range dependent Gaussian random fields
• Stable mixed moving averages
• Local Whittle estimator for anisotropic random fields
• Title not available (Why is that?)
• Stratified structure of the Universe and Burgers' equation -- a probabilistic approach
• Asymptotics of weighted empirical processes of linear fields with long-range dependence
• Tauberian and Abelian theorems for long-range dependent random fields
• Asymptotic inference for near unit roots in spatial autoregression
• Gaussian and their subordinates self-similar random generalized fields
• A Poisson bridge between fractional Brownian motion and stable Lévy motion
• Aggregation of isotropic autoregressive fields
• Invariance principles for non-isotropic long memory random fields
• Title not available (Why is that?)
• ARCH(∞) Models and Long Memory Properties
• Aggregation of random parameters Ornstein‐Uhlenbeck or AR processes: some convergence results
• The on-off network traffic model under intermediate scaling
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• Aggregation of the random coefficient GLARCH(1,1) process
• Title not available (Why is that?)
• Macroscaling limit theorems for filtered spatiotemporal random fields

Cited In (21)

• Scaling limits of linear random fields on \(\mathbb{Z}^2\) with general dependence axis
• On Lamperti type limit theorem and scaling transition for random fields
• Scaling transition and edge effects for negatively dependent linear random fields on \(\mathbb{Z}^2\)
• Scaling transition for nonlinear random fields with long-range dependence
• Scaling limits of nonlinear functions of random grain model, with application to Burgers' equation
• Anisotropic scaling limits of long-range dependent linear random fields on \(\mathbb{Z}^3\)
• Gaussian multi-self-similar random fields with distinct stationary properties of their rectangular increments
• Sample covariances of random-coefficient AR(1) panel model
• Operator-scaling Gaussian random fields via aggregation
• Local scaling limits of Lévy driven fractional random fields
• Limit theorems for linear random fields with tapered innovations. I: the Gaussian case
• Limit theorems for linear random fields with tapered innovations. II: The stable case
• Some remarks on definitions of memory for stationary random processes and fields
• Contemporaneous aggregation of triangular array of random-coefficient AR(1) processes
• A goodness-of-fit test for marginal distribution of linear random fields with long memory
• Aggregation of isotropic autoregressive fields
• Anisotropic scaling limits of long-range dependent random fields
• From random partitions to fractional Brownian sheets
• Aggregation of network traffic and anisotropic scaling of random fields
• Long-range Dependence: Revisiting Aggregation with Wavelets
• Scaling transition for long-range dependent Gaussian random fields

Uses Software

• longmemo

This page was built for publication: Aggregation of autoregressive random fields and anisotropic long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q726745)