Let (Ax)x∈R be a measurable, weakly stationary random field, i.e. E[Ax]=E[Ay], Cov(Ax,Ay)=K(x−y), ∀x,y∈Rd, with covariance function K:Rd→R. Assuming only that the integral covariance function wt≔∫{|z|≤t}K(z)dz is regularly varying (which encompasses the classical assumptions found in the literature), we compute [Formula presented] for D,L⊆Rd belonging to a certain class of compact sets. As an application, we combine this result with existing limit theorems to obtain multi-dimensional limit theorems for non-linear functionals of stationary Gaussian fields, in particular proving new results for the Berry's random wave model. At the end of the paper, we also show how the problem for A with a general continuous covariance function K can be reduced to the same problem for a radial, continuous covariance function Kiso. The novel ideas of this work are mainly based on regularity conditions for (cross) covariograms of Euclidean sets and standard properties of regularly varying functions.
Maini, L. (2024). Asymptotic covariances for functionals of weakly stationary random fields. STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 170(April 2024) [10.1016/j.spa.2024.104297].
Asymptotic covariances for functionals of weakly stationary random fields
Maini L.
2024
Abstract
Let (Ax)x∈R be a measurable, weakly stationary random field, i.e. E[Ax]=E[Ay], Cov(Ax,Ay)=K(x−y), ∀x,y∈Rd, with covariance function K:Rd→R. Assuming only that the integral covariance function wt≔∫{|z|≤t}K(z)dz is regularly varying (which encompasses the classical assumptions found in the literature), we compute [Formula presented] for D,L⊆Rd belonging to a certain class of compact sets. As an application, we combine this result with existing limit theorems to obtain multi-dimensional limit theorems for non-linear functionals of stationary Gaussian fields, in particular proving new results for the Berry's random wave model. At the end of the paper, we also show how the problem for A with a general continuous covariance function K can be reduced to the same problem for a radial, continuous covariance function Kiso. The novel ideas of this work are mainly based on regularity conditions for (cross) covariograms of Euclidean sets and standard properties of regularly varying functions.File | Dimensione | Formato | |
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