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Rearrangements of Gaussian fields. / Lachièze-Rey, Raphaël; Davydov, Youri.

In: Stochastic Processes and their Applications, Vol. 121, No. 11, 11.2011, p. 2606-2628.

Research output: Contribution to journal › Article › peer-review

Harvard

Lachièze-Rey, R & Davydov, Y 2011, 'Rearrangements of Gaussian fields', Stochastic Processes and their Applications, vol. 121, no. 11, pp. 2606-2628. https://doi.org/10.1016/j.spa.2011.07.004

APA

Lachièze-Rey, R., & Davydov, Y. (2011). Rearrangements of Gaussian fields. Stochastic Processes and their Applications, 121(11), 2606-2628. https://doi.org/10.1016/j.spa.2011.07.004

Vancouver

Lachièze-Rey R, Davydov Y. Rearrangements of Gaussian fields. Stochastic Processes and their Applications. 2011 Nov;121(11):2606-2628. https://doi.org/10.1016/j.spa.2011.07.004

Author

Lachièze-Rey, Raphaël ; Davydov, Youri. / Rearrangements of Gaussian fields. In: Stochastic Processes and their Applications. 2011 ; Vol. 121, No. 11. pp. 2606-2628.

BibTeX

@article{618b4be0f77b4faab0510af7def0d98d,

title = "Rearrangements of Gaussian fields",

abstract = "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.",

keywords = "Limit theorems, Random fields, Random measures, Rearrangement",

author = "Rapha{\"e}l Lachi{\`e}ze-Rey and Youri Davydov",

year = "2011",

month = nov,

doi = "10.1016/j.spa.2011.07.004",

language = "English",

volume = "121",

pages = "2606--2628",

journal = "Stochastic Processes and their Applications",

issn = "0304-4149",

publisher = "Elsevier",

number = "11",

}

RIS

TY - JOUR

T1 - Rearrangements of Gaussian fields

AU - Lachièze-Rey, Raphaël

AU - Davydov, Youri

PY - 2011/11

Y1 - 2011/11

N2 - 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.

AB - 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.

KW - Limit theorems

KW - Random fields

KW - Random measures

KW - Rearrangement

UR - http://www.scopus.com/inward/record.url?scp=80052489409&partnerID=8YFLogxK

U2 - 10.1016/j.spa.2011.07.004

DO - 10.1016/j.spa.2011.07.004

M3 - Article

AN - SCOPUS:80052489409

VL - 121

SP - 2606

EP - 2628

JO - Stochastic Processes and their Applications

JF - Stochastic Processes and their Applications

SN - 0304-4149

IS - 11

ER -

ID: 73460416