Stochastic processes with a particular type of variograms

DOI10.1155/2007/61579MaRDI QIDQ983390zbMATH OpenOpenAlexFDO

Authors C. Ma

Publication date 22 July 2010

Published in Research Letters in Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1155/2007/61579

Mathematics Subject Classification ID

General second-order stochastic processes (60G12) Processes with independent increments; Lévy processes (60G51)

Review text

Summary: This paper is concerned with a class of stochastic processes or random fields with second-order increments, whose variograms have a particular form, among which stochastic processes having orthogonal increments on the real line form an important subclass. A natural issue, how big this subclass is, has not been explicitly addressed in the literature. As a solution, this paper characterizes a stochastic process having orthogonal increments on the real line in terms of its variogram or its construction. Our findings are a little bit surprising: this subclass is big in terms of the variogram, and on the other hand, it is relatively ``small according to a simple construction. In particular, every such process with Gaussian increments can be simply constructed from Brownian motion. Using the characterizations we obtain a series expansion of the stochastic process with orthogonal increments.

Recommendations

• The use of the variogram in construction of stationary time series models
• A class of variogram matrices for vector random fields in space and/or time
• The local approximation of variograms in \(\mathcal R^2\) by covariance functions
• Characterizations of Some Processes By Properties Of Conditional Moments
• Increment stationarity of \(L^2\)-indexed stochastic processes: spectral representation and characterization

Cites work

• Bases in L 2 Spaces with Applications to Stochastic Processes with Orthogonal Increments
• Correlation theory of stationary and related random functions. Volume II: Supplementary notes and references
• scientific article; zbMATH DE number 3497161 (Why is no real title available?)
• scientific article; zbMATH DE number 1313649 (Why is no real title available?)
• scientific article; zbMATH DE number 806799 (Why is no real title available?)
• scientific article; zbMATH DE number 3040955 (Why is no real title available?)
• scientific article; zbMATH DE number 3105270 (Why is no real title available?)
• Intrinsic Random Functions and the Paradox of $1/{\text{f}}$ Noise
• Linear combinations of space-time covariance functions and variograms
• Representation of stochastic processes of second order and linear operations
• Spatio-temporal variograms and covariance models
• The intrinsic random functions and their applications
• The use of the variogram in construction of stationary time series models
• Variogram fitting with a general class of conditionally nonnegative definite functions

This page was built for publication: Stochastic processes with a particular type of variograms

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q983390)