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On Some Distributional Properties of Subordinated Gaussian Random Fields

Author

Listed:
  • Robin Merkle

    (University of Stuttgart)

  • Andrea Barth

    (University of Stuttgart)

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.

Suggested Citation

  • Robin Merkle & Andrea Barth, 2022. "On Some Distributional Properties of Subordinated Gaussian Random Fields," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2661-2688, December.
    • Handle: RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09958-x
    DOI: 10.1007/s11009-022-09958-x
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    References listed on IDEAS

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    1. Fedotenkov, Igor, 2015. "A simple nonparametric test for the existence of finite moments," MPRA Paper 66089, University Library of Munich, Germany.
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