Student's t vector random fields with powerlaw and loglaw decaying direct and cross covariances.
Citation
Ma, Chunsheng. 2013. Student's t vector random fields with powerlaw and loglaw decaying direct and cross covariances. Stochastic Analysis and Applications, v.31 no.1 pp.167182
Abstract
This article deals with the Student's t vector random field, which is formulated as a scale mixture of Gaussian vector random fields, and whose finitedimensional distributions decay in powerlaw and have heavy tails. There are two classes of Student's t vector random fields, one with secondorder moments, and the other without a secondorder moment. A Cauchy vector random field is an example of Student's t vector random fields without a firstorder moment, and is also an example of Stable vector random fields. A secondorder Student's t vector random field allows for any given correlation structure, just as a Gaussian vector random field does. We propose four types of covariance matrix structures for secondorder Student's t vector random fields, which decay in powerlaw or loglaw.
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