On Some Distributional Properties of Subordinated Gaussian Random Fields

Robin Merkle () and Andrea Barth ()
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Robin Merkle: University of Stuttgart
Andrea Barth: University of Stuttgart

Methodology and Computing in Applied Probability, 2022, vol. 24, issue 4, 2661-2688

Abstract: Abstract Motivated by the subordinated Brownian motion, we define a new class of (in general discontinuous) random fields on higher-dimensional parameter domains: the subordinated Gaussian random field. We investigate the pointwise marginal distribution of the constructed random fields, derive a Lévy-Khinchin-type formula and semi-explicit formulas for the covariance function. Further, we study the pointwise stochastic regularity and present various numerical examples.

Keywords: Subordinated Gaussian random fields; Lévy fields; Pointwise distribution; Pointwise stochastic regularity; 60G60; 60G51; 60G55; 60G15; 60E05 (search for similar items in EconPapers)
Date: 2022
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DOI: 10.1007/s11009-022-09958-x

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