Abstract
We construct two new classes of symmetric stable self-similar random fields with stationary increments, one of the moving average type, the other of the harmonizable type. The fields are defined through an integral representation whose kernel involves a norm on ℝn. We examine how the choice of the norm affects the finite-dimensional distributions. We also study the processes which are obtained by projecting the random fields on a one-dimensional subspace. We compare these “projection processes” with each other and with other well-known self-similar processes and we characterize their asymptotic dependence structure.
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The research was done at Boston University while the first author was on leave from the Hugo Steinhaus Center, Poland. The second author was partially supported by the ONR Grant N00014-90-J-1287 at Boston University and by a grant of the United States-Israel Binational Science Foundation.
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Kokoszka, P.S., Taqqu, M.S. New classes of self-similar symmetric stable random fields. J Theor Probab 7, 527–549 (1994). https://doi.org/10.1007/BF02213567
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DOI: https://doi.org/10.1007/BF02213567