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Hyperbolic vector random fields with hyperbolic direct and cross covariance functions

Du, Juan, Leonenko, Nikolai N., 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: 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: 04 Jun 2017 04:02
URI: http://orca.cf.ac.uk/id/eprint/31450

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