stochastic processes with a particular type of variograms随机过程与特定类型的变异函数.pdfVIP

Hindawi Publishing Corporation Research Letters in Signal Processing Volume 2007, Article ID 61579, 5 pages doi:10.1155/2007/61579 Research Letter Stochastic Processes with a Particular Type of Variograms Chunsheng Ma Department of Mathematics and Statistics, Wichita State University, Wichita, KS 67260, USA Correspondence should be addressed to Chunsheng Ma, cma@ Received 16 August 2007; Accepted 22 November 2007 Recommended by Antonio Napolitano This paper is concerned with a class of stochastic processes or random fields with second-order increments, whose variograms have a particular form, among which stochastic processes having orthogonal increments on the real line form an important subclass. A natural issue, how big this subclass is, has not been explicitly addressed in the literature. As a solution, this paper characterizes a stochastic process having orthogonal increments on the real line in terms of its variogram or its construction. Our findings are a little bit surprising: this subclass is big in terms of the variogram, and on the other hand, it is relatively “small” according to a simple construction. In particular, every such process with Gaussian increments can be simply constructed from Brownian motion. Using the characterizations we obtain a series expansion of the stochastic process with orthogonal increments. Copyright © 2007 Chunsheng Ma. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. INTRODUCTION For a constant α with 0 α ≤ 2 and a real-valued func- tion g (x), x ∈ D, it is shown in Secti