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Merkle R, Barth A. On Some Distributional Properties of Subordinated Gaussian Random Fields. Methodol Comput Appl Probab 2022. [DOI: 10.1007/s11009-022-09958-x] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/28/2022]
Abstract
AbstractMotivated 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.
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Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination. STATISTICAL INFERENCE FOR STOCHASTIC PROCESSES 2021. [DOI: 10.1007/s11203-021-09254-4] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.3] [Reference Citation Analysis] [Track Full Text] [Subscribe] [Scholar Register] [Indexed: 10/19/2022]
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