×

On roughness indices for fractional fields. (English) Zbl 1062.60052

Summary: The class of moving-average fractional Lévy motions (MAFLMs), which are fields parameterized by a \(d\)-dimensional space, is introduced. MAFLMs are defined by a moving-average fractional integration of order \(H\) of a random Lévy measure with finite moments. MAFLMs are centred \(d\)-dimensional motions with stationary increments, and have the same covariance function as fractional Brownian motions. They have \(H-d/2\) Hölder continuous sample paths. When the Lévy measure is the truncated random stable measure of index \(\alpha\), MAFLMs are locally self-similar with index \(\widetilde{H}= H-d/2+ d/\alpha\). This shows that in a non-Gaussian setting these indices (local self-similarity, variance of the increments, Hölder continuity) may be different. Moreover, we can establish a multiscale behaviour of some of these fields. All the indices of such MAFLMs are identified for the truncated random stable measure.

MSC:

60G60 Random fields
60G18 Self-similar stochastic processes
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
Full Text: DOI

References:

[1] Abry, P., Delbeke, L. and Flandrin, P. (2000) Wavelet based estimator for the self-similarity parameter of fi-stable processes. · Zbl 1028.60040
[2] Benassi, A., Cohen, S. and Istas, J. (1998) Identifying the multifractional function of a Gaussian process. Statist. Probab. Lett., 39, 337-345. Abstract can also be found in the ISI/STMA publication URL: · Zbl 0931.60022 · doi:10.1016/S0167-7152(98)00078-9
[3] Benassi, A., Cohen, S. and Istas, J. (2002) Identification and properties of real harmonizable fractional Lévy motions. Bernoulli, 8, 97-115. Abstract can also be found in the ISI/STMA publication URL: · Zbl 1005.60052
[4] Coeurjolly, J.-F. and Istas, J. (2001) Cramér-Rao bounds for fractional Brownian motions. Statist. Probab. Lett., 53, 435-447. · Zbl 1092.62574 · doi:10.1016/S0167-7152(00)00197-8
[5] Cohen, S. and Istas, J. (2003) A universal estimator of local self-similarity. Submitted. · Zbl 1023.60043
[6] Dury, M.-E. (2001) Estimation du paramètre de Hurst de processus stables auto-similaires à accroissements stationnaires. C. R. Acad. Sci. Paris Sér. I, 333, 45-48. · Zbl 1014.62100 · doi:10.1016/S0764-4442(01)01952-8
[7] Falconer, K. (2002) Tangent fields and the local structure of random fields, J. Theoret. Probab., 15, 731-750. · Zbl 1013.60028 · doi:10.1023/A:1016276016983
[8] Falconer, K. (2003) The local structure of random processes. J. London Math. Soc. (2), 67, 657-672. · Zbl 1054.28003 · doi:10.1112/S0024610703004186
[9] Istas, J. and Lang, G. (1997) Quadratic variations and estimation of the local Hölder index of a Gaussian process. Ann. Inst. H. Poincaré. Probab. Statist., 33(4), 407-436. · Zbl 0882.60032 · doi:10.1016/S0246-0203(97)80099-4
[10] Janssen, A. (1982) Zero-one laws for infinitely divisible probability measures on groups. Z. Wahrscheinlichkeitstheorie Verw. Geb., 60, 119-138. · Zbl 0468.60013 · doi:10.1007/BF01957099
[11] Kolmogorov, A. (1940) Wienersche Spiralen und einige andere interessante Kurven im Hilbertsche Raum, C. R. (Dokl.) Acad. Sci. URSS, 26, 115-118. · Zbl 0022.36001
[12] Mandelbrot, B. and Van Ness, J. (1968) Fractional Brownian motions, fractional noises and applications. SIAM Rev., 10, 422-437. JSTOR: · Zbl 0179.47801 · doi:10.1137/1010093
[13] Neveu, J. (1968) Processus aléatoires gaussiens. Montreal: Presses de lÚniversité de Montréal. · Zbl 0192.54701
[14] Rosinski, J. (1989) On path properties of certain infinitely divisible processes. Stochastic Process. Appl., 33, 73-87. Abstract can also be found in the ISI/STMA publication URL: · Zbl 0715.60051 · doi:10.1016/0304-4149(89)90067-7
[15] Samorodnitsky, G. and Taqqu, M. (1994) Stable Non-Gaussian Random Processes: Stochastic Models with Infinite Variance. New York: Chapman & Hall. · Zbl 0925.60027
This reference list is based on information provided by the publisher or from digital mathematics libraries. Its items are heuristically matched to zbMATH identifiers and may contain data conversion errors. In some cases that data have been complemented/enhanced by data from zbMATH Open. This attempts to reflect the references listed in the original paper as accurately as possible without claiming completeness or a perfect matching.