Example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet

Vitalii Makogin, Yuliya Mishura

Published 2014-03-05Version 1

We consider anisotropic self-similar random fields, in particular, the fractional Brownian sheet. This Gaussian field is an extension of fractional Brownian motion. We prove some properties of covariance function for self-similar fields with rectangular increments. Using Lamperti transformation we obtain properties of covariance function for the corresponding stationary fields. We present an example of a Gaussian self-similar field with stationary rectangular increments that is not a fractional Brownian sheet.