Student's t vector random fields with power-law and log-law decaying direct and cross covariances.
Citation
Ma, Chunsheng. 2013. Student's t vector random fields with power-law and log-law decaying direct and cross covariances. Stochastic Analysis and Applications, v.31 no.1 pp.167-182
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 finite-dimensional distributions decay in power-law and have heavy tails. There are two classes of Student's t vector random fields, one with second-order moments, and the other without a second-order moment. A Cauchy vector random field is an example of Student's t vector random fields without a first-order moment, and is also an example of Stable vector random fields. A second-order 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 second-order Student's t vector random fields, which decay in power-law or log-law.
Description
Click on the DOI link to access the article (may not be free).
Collections
Related items
Showing items related by title, author, creator and subject.
-
Covariance matrix functions of isotropic vector random fields
Wang, Renxiang; Du, Juan; Ma, Chunsheng (Taylor & Francis Group, 2014-05-15)An isotropic scalar or vector random field is a second-order random field in (d > 2), whose covariance function or direct/cross covariance functions are isotropic. While isotropic scalar random fields have been well developed ... -
Logistic vector random fields with logistic direct and cross covariances
Balakrishnan, N.; Ma, Chunsheng; Wang, Renxiang (Elsevier B.V., 2015-06)The logistic vector random field is introduced in this paper as a scale mixture of Gaussian vector random fields, and is thus a particular elliptically contoured (spherically invariant) vector random field. Such a logistic ... -
Hyperbolic vector random fields with hyperbolic direct and cross covariance functions
Du, Juan; Leonenko, Nikolai; Ma, Chunsheng; Shu, Hong (Taylor & Francis, 2012-06-26)This article introduces the hyperbolic vector random field whose finite-dimensional distributions are the generalized hyperbolic one, which is formulated as a scale mixture of Gaussian random fields and is thus an elliptically ...