DOI

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.

Язык оригиналаанглийский
Страницы (с-по)2606-2628
Число страниц23
ЖурналStochastic Processes and their Applications
Том121
Номер выпуска11
DOI
СостояниеОпубликовано - ноя 2011

    Предметные области Scopus

  • Теория вероятности и статистика
  • Моделирование и симуляция
  • Прикладная математика

ID: 73460416