Scaling transition for nonlinear random fields with long-range dependence

Vytautė Pilipauskaitė and Donatas Surgailis

Stochastic Processes and their Applications, 2017, vol. 127, issue 8, 2751-2779

Abstract: We obtain a complete description of anisotropic scaling limits and the existence of scaling transition for nonlinear functions (Appell polynomials) of stationary linear random fields on Z2 with moving average coefficients decaying at possibly different rate in the horizontal and the vertical direction. The paper extends recent results on scaling transition for linear random fields in Puplinskaitė and Surgailis (2015, 2016).

Keywords: Scaling transition; Anisotropic long-range dependence; Fractionally integrated random field; Appell polynomials; Multiple Itô–Wiener integral; Fractional Brownian sheet (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spa.2016.12.011

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