English

Asymptotic of spectral covariance for linear random fields with infinite variance

Probability 2016-01-18 v1

Abstract

In the paper we continue to investigate measures of dependence for random variables with infinite variance. The asymptotic of spectral covariance ρ(X(0,0),X(k1,k2))\rho (X_{(0,0)}, X_{(k_1,k_2)}) for linear random field Xk,l=i,j=0ci,jϵki,lj, (k,l)Z2,X_{k,l}=\sum_{i,j=0}^\infty c_{i,j}\epsilon_{k-i, l-j}, \ (k, l)\in \mathbb{Z}^2, with special form of filter {ci,j}\{c_{i,j}\} and with innovations {ϵi,j}\{ \epsilon_{i, j}\} having infinite second moment is investigated. Different behavior of ρ(X(0,0),X(k1,k2))\rho (X_{(0,0)}, X_{(k_1,k_2)}) is obtained in the cases n, mn\to \infty, \ m\to \infty and n, mn\to \infty, \ m\to -\infty, the latter case being much more complicated.

Keywords

Cite

@article{arxiv.1601.03911,
  title  = {Asymptotic of spectral covariance for linear random fields with infinite variance},
  author = {Julius Damarackas and Vygantas Paulauskas},
  journal= {arXiv preprint arXiv:1601.03911},
  year   = {2016}
}