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Non-central limit theorems for random fields subordinated to gamma-correlated random fields

Authors :
Leonenko, N. N.
Ruiz-Medina, M. D.
Taqqu, M. S.
Publication Year :
2015

Abstract

A reduction theorem is proved for functionals of Gamma-correlated random fields with long-range dependence in d-dimensional space. In the particular case of a non-linear function of a chi-squared random field with Laguerre rank equal to one, we apply the Karhunen-Lo\'eve expansion and the Fredholm determinant formula to obtain the characteristic function of its Rosenblatt-type limit distribution. When the Laguerre rank equals one and two, we obtain the multiple Wiener-It\^o stochastic integral representation of the limit distribution. In both cases, an infinite series representation in terms of independent random variables is constructed for the limit random variables.

Details

Database :
arXiv
Publication Type :
Report
Accession number :
edsarx.1504.00813
Document Type :
Working Paper