Vector Stochastic Processes with Pólya‐Type Correlation Structure
本文提出一种简单方法，通过随机化时间尺度来构造具有Pólya型协方差函数和任意无穷可分边际分布的平稳过程，并扩展到多元情形，得到一类新的非高斯向量随机过程，适用于建模和模拟。
Summary This paper introduces a simple method to construct a stationary process on the real line with a Pólya‐type covariance function and with any infinitely divisible marginal distribution, by randomising the timescale of the increment of a second‐order Lévy process with an appropriate positive random variable. With the construction method extended to the multivariate case, we construct vector stochastic processes with Pólya‐type direct covariance functions and with any specified infinitely divisible marginal distributions. This makes available a new class of non‐Gaussian vector stochastic processes with flexible correlation structure for use in modelling and simulation.