Local scaling limits of Levy driven fractional random fields

被引:2
|
作者
Pilipauskaite, Vytaute [1 ]
Surgailis, Donatas [2 ]
机构
[1] Univ Luxembourg, Dept Math, 6 Ave Fonte, L-4364 Esch Sur Alzette, Luxembourg
[2] Vilnius Univ, Fac Math & Informat, Naugarduko 24, LT-03225 Vilnius, Lithuania
关键词
Fractional random field; local anisotropic scaling limit; rectangular increment; Levy random measure; scaling transition; multi self-similar random field; LINEAR RANDOM-FIELDS; STOCHASTIC-PROCESSES; AGGREGATION; TRANSITION; ROUGHNESS; THEOREMS;
D O I
10.3150/21-BEJ1439
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We obtain a complete description of local anisotropic scaling limits for a class of fractional random fields X on R-2 written as stochastic integral with respect to infinitely divisible random measure. The scaling procedure involves increments of X over points the distance between which in the horizontal and vertical directions shrinks as O(lambda) and O(lambda(gamma)) respectively as lambda down arrow 0, for some gamma > 0. We consider two types of increments of X: usual increment and rectangular increment, leading to the respective concepts of gamma-tangent and gamma-rectangent random fields. We prove that for above X both types of local scaling limits exist for any gamma > 0 and undergo a transition, being independent of gamma > gamma(0) and gamma < gamma(0), for some gamma(0) > 0; moreover, the 'unbalanced' scaling limits (gamma not equal gamma(0)) are (H-1, H-2)-multi self-similar with one of H-i, i = 1, 2, equal to 0 or 1. The paper extends Pilipauskaite and Surgailis (Stochastic Process. Appl. 127 (2017) 2751-2779) and Surgailis (Stochastic Process. Appl. 130 (2020) 7518-7546) on largescale anisotropic scaling of random fields on Z(2) and Benassi et al. (Bernoulli 10 (2004) 357-373) on 1-tangent limits of isotropic fractional Levy random fields.
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页码:2833 / 2861
页数:29
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