Operator-stable and operator-self-similar random fields

D. Kremer and H.-P. Scheffler

Stochastic Processes and their Applications, 2019, vol. 129, issue 10, 4082-4107

Abstract: Two classes of multivariate random fields with operator-stable marginals are constructed. The random fields X={X(t):t∈Rd} with values in Rm are invariant in law under operator-scaling in both the time-domain and the state-space. The construction is based on operator-stable random measures utilizing certain homogeneous functions.

Date: 2019
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DOI: 10.1016/j.spa.2018.11.013

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