Joint asymptotics for estimating the fractal indices of bivariate Gaussian processes

Yuzhen Zhou and Yimin Xiao

Journal of Multivariate Analysis, 2018, vol. 165, issue C, 56-72

Abstract: Multivariate (or vector-valued) processes are important for modeling multiple variables. The fractal indices of the components of the underlying multivariate process play a key role in characterizing the dependence structures and statistical properties of the multivariate process. In this paper, under the infill asymptotics framework, we establish joint asymptotic results for the increment-based estimators of bivariate fractal indices. Our main results quantitatively describe the effect of the cross-dependence structure on the performance of the estimators.

Keywords: Bivariate Gaussian process; Bivariate Matérn field; Fractal indices; Joint asymptotics (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.jmva.2017.12.001

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