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On the construction of stationary processes and random fields

Author

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  • Lee Jeonghwa

    (Department of Mathematics and Statistics, University of North Carolina Wilmington, Wilmington, NC 28403, United States of America)

Abstract

We propose a new method to construct a stationary process and random field with a given decreasing covariance function and any one-dimensional marginal distribution. The result is a new class of stationary processes and random fields. The construction method utilizes a correlated binary sequence, and it allows a simple and practical way to model dependence structures in a stationary process and random field as its dependence structure is induced by the correlation structure of a few disjoint sets in the support set of the marginal distribution. Simulation results of the proposed models are provided, which show the empirical behavior of a sample path.

Suggested Citation

  • Lee Jeonghwa, 2024. "On the construction of stationary processes and random fields," Dependence Modeling, De Gruyter, vol. 12(1), pages 1-27.
    • Handle: RePEc:vrs:demode:v:12:y:2024:i:1:p:27:n:1001
    DOI: 10.1515/demo-2024-0005
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