Gaussian fields and Gaussian sheets with generalized Cauchy covariance structure

Steven Lim () and L.P. Teo

Stochastic Processes and their Applications, 2009, vol. 119, issue 4, 1325-1356

Abstract: Two types of Gaussian processes, namely the Gaussian field with generalized Cauchy covariance (GFGCC) and the Gaussian sheet with generalized Cauchy covariance (GSGCC) are considered. Some of the basic properties and the asymptotic properties of the spectral densities of these random fields are studied. The associated self-similar random fields obtained by applying the Lamperti transformation to GFGCC and GSGCC are studied.

Keywords: Gaussian; field; with; generalized; Cauchy; covariance; Gaussian; sheet; with; generalized; Cauchy; covariance; Self-similarity; Long/short; range; dependence; Lamperti; transform (search for similar items in EconPapers)
Date: 2009
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Citations: View citations in EconPapers (3)

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