The monotone rearrangement of a function is the non-decreasing function with the same distribution. The convex rearrangement of a smooth function is obtained by integrating the monotone rearrangement of its derivative. This operator can be applied to regularizations of a stochastic process to measure quantities of interest in econometrics. A multivariate generalization of these operators is proposed, and the almost sure convergence of rearrangements of regularized Gaussian fields is given. For the fractional Brownian field or the Brownian sheet approximated on a simplicial grid, it appears that the limit object depends on the orientation of the simplices.

Original languageEnglish
Pages (from-to)2606-2628
Number of pages23
JournalStochastic Processes and their Applications
Volume121
Issue number11
DOIs
StatePublished - Nov 2011

    Scopus subject areas

  • Statistics and Probability
  • Modelling and Simulation
  • Applied Mathematics

    Research areas

  • Limit theorems, Random fields, Random measures, Rearrangement

ID: 73460416