Hyperbolic vector random fields with hyperbolic direct and cross covariance functions

Du, Juan, Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091, Ma, Chunsheng and Shu, Hong 2012. Hyperbolic vector random fields with hyperbolic direct and cross covariance functions. Stochastic Analysis and Applications 30 (4) , pp. 662-674. 10.1080/07362994.2012.684325

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Abstract

This article introduces the hyperbolic vector random field whose finite-dimensional distributions are the generalized hyperbolic one, which is formulated as a scale mixture of Gaussian random fields and is thus an elliptically contoured (or spherically invariant) random field. Such a vector random field may or may not have second-order moments, while a second-order one is characterized by its mean function and its covariance matrix function, just as in a Gaussian case. Some covariance matrix structures of hyperbolic type are constructed in this paper for second-order hyperbolic vector random fields.

Item Type:	Article
Date Type:	Publication
Status:	Published
Schools:	Schools > Mathematics
Subjects:	Q Science > QA Mathematics
Uncontrolled Keywords:	Conditionally negative definite matrix, Covariance matrix function, Elliptically contoured random field, Gaussian random field, Generalized hyperbolic distribution, Generalized inverse Gaussian distribution, Spherically invariant random field, Variogram
Publisher:	Taylor and Francis
ISSN:	0736-2994
Last Modified:	20 Oct 2022 09:19
URI:	https://orca.cardiff.ac.uk/id/eprint/31450

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