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.
Articolo in rivista - Articolo scientifico
Asymptotic covariances; Berry's random wave model; Covariograms; Regularly varying functions; Stationary Gaussian fields; Weakly stationary random fields;
English
11-gen-2024
2024
170
April 2024
104297
reserved
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].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10281/481640
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