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Scaling transition for long-range dependent Gaussian random fields

Author

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  • Puplinskaitė, Donata
  • Surgailis, Donatas

Abstract

In Puplinskaitė and Surgailis (2014) we introduced the notion of scaling transition for stationary random fields X on Z2 in terms of partial sums limits, or scaling limits, of X over rectangles whose sides grow at possibly different rate. The present paper establishes the existence of scaling transition for a natural class of stationary Gaussian random fields on Z2 with long-range dependence. The scaling limits of such random fields are identified and characterized by dependence properties of rectangular increments.

Suggested Citation

  • Puplinskaitė, Donata & Surgailis, Donatas, 2015. "Scaling transition for long-range dependent Gaussian random fields," Stochastic Processes and their Applications, Elsevier, vol. 125(6), pages 2256-2271.
    • Handle: RePEc:eee:spapps:v:125:y:2015:i:6:p:2256-2271
    DOI: 10.1016/j.spa.2014.12.011
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    References listed on IDEAS

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    1. Frédéric Lavancier, 2007. "Invariance principles for non-isotropic long memory random fields," Statistical Inference for Stochastic Processes, Springer, vol. 10(3), pages 255-282, October.
    2. Guo, Hongwen & Lim, Chae Young & Meerschaert, Mark M., 2009. "Local Whittle estimator for anisotropic random fields," Journal of Multivariate Analysis, Elsevier, vol. 100(5), pages 993-1028, May.
    3. Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas, 2005. "Renewal regime switching and stable limit laws," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 299-327.
    4. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2014. "Joint temporal and contemporaneous aggregation of random-coefficient AR(1) processes," Stochastic Processes and their Applications, Elsevier, vol. 124(2), pages 1011-1035.
    5. Gaigalas, Raimundas, 2006. "A Poisson bridge between fractional Brownian motion and stable Lévy motion," Stochastic Processes and their Applications, Elsevier, vol. 116(3), pages 447-462, March.
    6. Biermé, Hermine & Meerschaert, Mark M. & Scheffler, Hans-Peter, 2007. "Operator scaling stable random fields," Stochastic Processes and their Applications, Elsevier, vol. 117(3), pages 312-332, March.
    7. Anne Philippe & Donata Puplinskaite & Donatas Surgailis, 2014. "Contemporaneous Aggregation Of Triangular Array Of Random-Coefficient Ar(1) Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 35(1), pages 16-39, January.
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    Cited by:

    1. Abry, Patrice & Didier, Gustavo, 2018. "Wavelet eigenvalue regression for n-variate operator fractional Brownian motion," Journal of Multivariate Analysis, Elsevier, vol. 168(C), pages 75-104.
    2. Surgailis, Donatas, 2020. "Scaling transition and edge effects for negatively dependent linear random fields on Z2," Stochastic Processes and their Applications, Elsevier, vol. 130(12), pages 7518-7546.
    3. Pilipauskaitė, Vytautė & Surgailis, Donatas, 2017. "Scaling transition for nonlinear random fields with long-range dependence," Stochastic Processes and their Applications, Elsevier, vol. 127(8), pages 2751-2779.
    4. Didier, Gustavo & Meerschaert, Mark M. & Pipiras, Vladas, 2018. "Domain and range symmetries of operator fractional Brownian fields," Stochastic Processes and their Applications, Elsevier, vol. 128(1), pages 39-78.
    5. Patrice Abry & Gustavo Didier & Hui Li, 2019. "Two-step wavelet-based estimation for Gaussian mixed fractional processes," Statistical Inference for Stochastic Processes, Springer, vol. 22(2), pages 157-185, July.

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