K-distributed vector random fields in space and time

Chunsheng Ma

Statistics & Probability Letters, 2013, vol. 83, issue 4, 1143-1150

Abstract: This paper introduces two types of second-order vector random fields or stochastic processes whose marginals are K-distributed, through certain mixture procedures. The first type is formulated as an independent product of a Gamma random variable and a χ2 vector random field, with an arbitrary spatial, temporal, or spatio-temporal index domain. The second type is formed as an independent product of a Gamma process and a χ2 vector random field, with the index domain limited on the nonnegative part of the real line. We derive the mean and covariance matrix functions of these K-distributed vector random fields, as well as the corresponding finite-dimensional Laplace transformations.

Keywords: Covariance matrix function; Gamma process; χ2 random field; K-distribution; Rayleigh random field (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:83:y:2013:i:4:p:1143-1150

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DOI: 10.1016/j.spl.2013.01.004

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