Multivariate exponential power Lévy processes and random fields

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Authors
Ma, Chunsheng
Issue Date
2023-06-01
Type
Article
Language
en_US
Keywords
Compound Poisson process , Elliptically contoured random field , Infinitely divisible , Stable process , Subordinator , Tempered stable process
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Abstract

Two multivariate exponential power Lévy processes are introduced in this paper via compound Poisson representations, which are so termed because their characteristic exponents are the linear combination of certain positive or negative power functions. They can be represented as the time changed multivariate Brownian motions using the time changes that are two exponential power subordinators, respectively. Two multivariate exponential power random fields are also proposed as elliptically contoured random fields, whose finite-dimensional characteristic functions are made up of the exponential power functions and enjoy the infinitely divisible property.

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Citation
Ma, C. (2023). Multivariate exponential power Lévy processes and random fields. Statistics & Probability Letters, 197, 109806. https://doi.org/https://doi.org/10.1016/j.spl.2023.1098
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Elsevier Ltd
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ISSN
0167-7152
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