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arxiv: 0901.3581 · v1 · submitted 2009-01-23 · 🧮 math.PR · math-ph· math.MP

Generalized Whittle-Matacute{E}rn random field as a model of correlated fluctuations

classification 🧮 math.PR math-phmath.MP
keywords fieldacutetextwhittle-matdatarandomgeneralizedcovariance
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This paper considers a generalization of Gaussian random field with covariance function of Whittle-Mat$\acute{\text{e}}$rn family. Such a random field can be obtained as the solution to the fractional stochastic differential equation with two fractional orders. Asymptotic properties of the covariance functions belonging to this generalized Whittle-Mat$\acute{\text{e}}$rn family are studied, which are used to deduce the sample path properties of the random field. The Whittle-Mat$\acute{\text{e}}$rn field has been widely used in modeling geostatistical data such as sea beam data, wind speed, field temperature and soil data. In this article we show that generalized Whittle-Mat$\acute{\text{e}}$rn field provides a more flexible model for wind speed data.

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