Fourier coefficients of invariant random fields on homogeneous spaces of compact Lie groups
Annales de l'I.H.P. Probabilités et statistiques, Volume 51 (2015) no. 2, pp. 648-671.

Let T be a random field invariant under the action of a compact group G. In the line of previous work we investigate properties of the Fourier coefficients as orthogonality and Gaussianity. In particular we give conditions ensuring that independence of the random Fourier coefficients implies Gaussianity. As a consequence, in general, it is not possible to simulate a non-Gaussian invariant random field through its Fourier expansion using independent coefficients.

Soit T un champ aléatoire invariant par rapport à l’action d’un groupe compact G. On étudie les propriétés de ses coefficients de Fourier telles que l’orthogonalité et la gaussianité. En particulier on établit des conditions qui garantissent que l’indépendance de ces coefficients entraîne qu’ils sont gaussiens. Une conséquence remarquable est que, en général, il n’est pas possible de générer par simulation un champ aléatoire non gaussien invariant à l’aide de son développement par des coefficients indépendants.

DOI: 10.1214/14-AIHP600
Classification: 60B15,  60E05,  43A30
Keywords: invariant random fields, Fourier expansions, characterization of gaussian random fields
@article{AIHPB_2015__51_2_648_0,
     author = {Baldi, P. and Trapani, S.},
     title = {Fourier coefficients of invariant random fields on homogeneous spaces of compact {Lie} groups},
     journal = {Annales de l'I.H.P. Probabilit\'es et statistiques},
     pages = {648--671},
     publisher = {Gauthier-Villars},
     volume = {51},
     number = {2},
     year = {2015},
     doi = {10.1214/14-AIHP600},
     mrnumber = {3335020},
     language = {en},
     url = {http://www.numdam.org/articles/10.1214/14-AIHP600/}
}
TY  - JOUR
AU  - Baldi, P.
AU  - Trapani, S.
TI  - Fourier coefficients of invariant random fields on homogeneous spaces of compact Lie groups
JO  - Annales de l'I.H.P. Probabilités et statistiques
PY  - 2015
DA  - 2015///
SP  - 648
EP  - 671
VL  - 51
IS  - 2
PB  - Gauthier-Villars
UR  - http://www.numdam.org/articles/10.1214/14-AIHP600/
UR  - https://www.ams.org/mathscinet-getitem?mr=3335020
UR  - https://doi.org/10.1214/14-AIHP600
DO  - 10.1214/14-AIHP600
LA  - en
ID  - AIHPB_2015__51_2_648_0
ER  - 
%0 Journal Article
%A Baldi, P.
%A Trapani, S.
%T Fourier coefficients of invariant random fields on homogeneous spaces of compact Lie groups
%J Annales de l'I.H.P. Probabilités et statistiques
%D 2015
%P 648-671
%V 51
%N 2
%I Gauthier-Villars
%U https://doi.org/10.1214/14-AIHP600
%R 10.1214/14-AIHP600
%G en
%F AIHPB_2015__51_2_648_0
Baldi, P.; Trapani, S. Fourier coefficients of invariant random fields on homogeneous spaces of compact Lie groups. Annales de l'I.H.P. Probabilités et statistiques, Volume 51 (2015) no. 2, pp. 648-671. doi : 10.1214/14-AIHP600. http://www.numdam.org/articles/10.1214/14-AIHP600/

[1] P. Baldi and D. Marinucci. Some characterizations of the spherical harmonics coefficients for isotropic random rields. Statist. Probab. Lett. 77 (2007) 490–496. | MR | Zbl

[2] P. Baldi, D. Marinucci and V. S. Varadarajan. On the characterization of isotropic Gaussian fields on homogeneous spaces of compact groups. Electron. Commun. Probab. 12 (2007) 291–302 (electronic). | MR | Zbl

[3] T. Bröcker and T. tom Dieck. Representations of Compact Lie Groups. Graduate Texts in Mathematics 98. Springer, New York, 1995. | MR | Zbl

[4] L. Chaumont and M. Yor. Exercises in Probability. Cambridge Series in Statistical and Probabilistic Mathematics 13. Cambridge Univ. Press, Cambridge, 2003. | MR | Zbl

[5] J. Faraut. Analysis on Lie Groups. Cambridge Studies in Advanced Mathematics 110. Cambridge Univ. Press, Cambridge, 2008. | MR | Zbl

[6] S. G. Ghurye and I. Olkin. A characterization of the multivariate normal distribution. Ann. Math. Statist. 33 (1962) 533–541. | MR | Zbl

[7] A. M. Kagan, Y. V. Linnik and C. Radhakrishna Rao. Characterization Problems in Mathematical Statistics. Wiley, New York, 1973. | MR | Zbl

[8] A. Malyarenko. Invariant random fields in vector bundles and application to cosmology. Ann. Inst. Henri Poincare Probab. Stat. 47 (4) (2011) 1068–1095. | Numdam | MR | Zbl

[9] D. Marinucci and G. Peccati. Random Fields. London Mathematical Society Lecture Note Series 389. Cambridge Univ. Press, Cambridge, 2011. | MR | Zbl

[10] D. Marinucci and G. Peccati. Mean-square continuity on homogeneous spaces of compact groups. Electron. Commun. Probab. 18 (2013) 37. | MR | Zbl

[11] G. Peccati and J.-R. Pycke. Decompositions of stochastic processes based on irreducible group representations. Teor. Veroyatn. Primen. 54 (2) (2009) 304–336. | MR | Zbl

[12] N. J. Vilenkin and A. U. Klimyk. Representation of Lie Groups and Special Functions. Vol. 1. Mathematics and Its Applications (Soviet Series) 72. Kluwer Academic, Dordrecht, 1991. | MR | Zbl

Cited by Sources: