2023/12/12 by Jeonghwa Lee, Lee, Jeonghwa · 1 citation
Economics, Econometrics and Finance · Mathematics · #FOS: Computer and information sciences #Financial Risk and Volatility Modeling #Methodology (stat.ME) #Statistical Methods and Inference
paper · pdf · doi:10.48550/arxiv.2312.07775
openalex publication_date 2023/12/12 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
We propose a new method to construct a stationary process and random field with a given decreasing covariance function and any one-dimensional marginal distribution. The result is a new class of stationary processes and random fields. The construction method utilizes a correlated binary sequence, and it allows a simple and practical way to model dependence structures in a stationary process and random field as its dependence structure is induced by the correlation structure of a few disjoint sets in the support set of the marginal distribution. Simulation results of the proposed models are provided, which show the empirical behavior of a sample path.