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arxiv: 1504.00813 · v1 · pith:26W2E6MYnew · submitted 2015-04-03 · 🧮 math.SP · math.PR

Non-central limit theorems for random fields subordinated to gamma-correlated random fields

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keywords randomlimitfieldsdistributionfunctiongamma-correlatedlaguerreobtain
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A reduction theorem is proved for functionals of Gamma-correlated random fields with long-range dependence in d-dimensional space. In the particular case of a non-linear function of a chi-squared random field with Laguerre rank equal to one, we apply the Karhunen-Lo\'eve expansion and the Fredholm determinant formula to obtain the characteristic function of its Rosenblatt-type limit distribution. When the Laguerre rank equals one and two, we obtain the multiple Wiener-It\^o stochastic integral representation of the limit distribution. In both cases, an infinite series representation in terms of independent random variables is constructed for the limit random variables.

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