On the construction of stationary processes and random fields

Lee Jeonghwa ()
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Lee Jeonghwa: Department of Mathematics and Statistics, University of North Carolina Wilmington, Wilmington, NC 28403, United States of America

Dependence Modeling, 2024, vol. 12, issue 1, 27

Abstract: We propose a new method to construct a stationary process and random field with a given decreasing covariance function and any one-dimensional marginal distribution. The result is a new class of stationary processes and random fields. The construction method utilizes a correlated binary sequence, and it allows a simple and practical way to model dependence structures in a stationary process and random field as its dependence structure is induced by the correlation structure of a few disjoint sets in the support set of the marginal distribution. Simulation results of the proposed models are provided, which show the empirical behavior of a sample path.

Keywords: stationary processes; random fields; generalized Bernoulli process (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:12:y:2024:i:1:p:27:n:1001

DOI: 10.1515/demo-2024-0005

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