Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields
Chan, Grace ; Wood, Andrew T. A.
Ann. Statist., Tome 32 (2004) no. 1, p. 1222-1260 / Harvested from Project Euclid
We present the asymptotic distribution theory for a class of increment-based estimators of the fractal dimension of a random field of the form g{X(t)}, where g:R→R is an unknown smooth function and X(t) is a real-valued stationary Gaussian field on Rd, d=1 or 2, whose covariance function obeys a power law at the origin. The relevant theoretical framework here is “fixed domain” (or “infill”) asymptotics. Surprisingly, the limit theory in this non-Gaussian case is somewhat richer than in the Gaussian case (the latter is recovered when g is affine), in part because estimators of the type considered may have an asymptotic variance which is random in the limit. Broadly, when g is smooth and nonaffine, three types of limit distributions can arise, types (i), (ii) and (iii), say. Each type can be represented as a random integral. More specifically, type (i) can be represented as the integral of a certain random function with respect to Lebesgue measure; type (ii) can be represented as the integral of a second random function with respect to an independent Gaussian random measure; and type (iii) can be represented as a Wiener–Itô integral of order 2. Which type occurs depends on a combination of the following factors: the roughness of X(t), whether d=1 or d=2 and the order of the increment which is used. Another notable feature of our results is that, even though the estimators we consider are based on a variogram, no moment conditions are required on the observed field g{X(t)} for the limit theory to hold. The results of a numerical study are also presented.
Publié le : 2004-06-14
Classification:  Gaussian random measure,  Hermite polynomial,  increments,  stationary random field,  variogram,  Wiener–Itô integral,  62M99,  62E20
@article{1085408501,
     author = {Chan, Grace and Wood, Andrew T. A.},
     title = {Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields},
     journal = {Ann. Statist.},
     volume = {32},
     number = {1},
     year = {2004},
     pages = { 1222-1260},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1085408501}
}
Chan, Grace; Wood, Andrew T. A. Estimation of fractal dimension for a class of non-Gaussian stationary processes and fields. Ann. Statist., Tome 32 (2004) no. 1, pp.  1222-1260. http://gdmltest.u-ga.fr/item/1085408501/