Hyperbolic Vector Random Fields with Hyperbolic Direct and Cross Covariance Functions

Abstract

This article introduces the hyperbolic vector random field whose finite-dimensional distributions are the generalized hyperbolic one, which is formulated as a scale mixture of Gaussian random fields and is thus an elliptically contoured (or spherically invariant) random field. Such a vector random field may or may not have second-order moments, while a second-order one is characterized by its mean function and its covariance matrix function, just as in a Gaussian case. Some covariance matrix structures of hyperbolic type are constructed in this paper for second-order hyperbolic vector random fields.