Limit Theorems for Multifractal Products of Geometric Stationary Processes

We investigate the properties of multifractal products of geometric Gaussian processes with possible long-range dependence and geometric Ornstein-Uhlenbeck processes driven by L\'{e}vy motion and their finite and infinite superpositions. We present the general conditions for the $L_q$ convergence of cumulative processes to the limiting processes and investigate their $q$-th order moments and R\'{e}nyi functions, which are nonlinear, hence displaying the multifractality of the processes as constructed. We also establish the corresponding scenarios for the limiting processes, such as log-normal, log-gamma, log-tempered stable or log-normal tempered stable scenarios.Comment: 41 pages(some errors and misprints are corrected

Tauberian and Abelian theorems for long-range dependent random fields

This paper surveys Abelian and Tauberian theorems for long-range dependent random fields. We describe a framework for asymptotic behaviour of covariance functions or variances of averaged functionals of random fields at infinity and spectral densities at zero. The use of the theorems and their limitations are demonstrated through applications to some new and less-known examples of covariance functions of long-range dependent random fields.Comment: Will appear in Methodology and Computing in Applied Probability. 26 pages, 10 figures. The final publication is available at link.springer.com. DOI: 10.1007/s11009-012-9276-

Sojourn measures of Student and Fisher-Snedecor random fields

Limit theorems for the volumes of excursion sets of weakly and strongly dependent heavy-tailed random fields are proved. Some generalizations to sojourn measures above moving levels and for cross-correlated scenarios are presented. Special attention is paid to Student and Fisher-Snedecor random fields. Some simulation results are also presented.Comment: Published in at http://dx.doi.org/10.3150/13-BEJ529 the Bernoulli (http://isi.cbs.nl/bernoulli/) by the International Statistical Institute/Bernoulli Society (http://isi.cbs.nl/BS/bshome.htm