On p-generalized elliptical random processes

Abstract

We introduce rank-k-continuous axis-aligned p-generalized elliptically contoured distributions and study their properties such as stochastic representations, moments, and density-like representations. Applying the Kolmogorov existence theorem, we prove the existence of random processes having axis-aligned p-generalized elliptically contoured finite dimensional distributions with arbitrary location and scale functions and a consistent sequence of density generators of p-generalized spherical invariant distributions. Particularly, we consider scale mixtures of rank-k-continuous axis-aligned p-generalized elliptically contoured Gaussian distributions and answer the question when an n-dimensional rank-k-continuous axis-aligned p-generalized elliptically contoured distribution is representable as a scale mixture of n-dimensional rank-k-continuous p-generalized Gaussian distribution for a suitable mixture distribution of a positive random variable. Based on this class of multivariate probability distributions, we introduce scale mixed p-generalized Gaussian processes having axis-aligned finite dimensional distributions being p-generalizations of elliptical random processes. Additionally, some of their characteristic properties are discussed and approximates of trajectories of several examples such as p-generalized Student-t and p-generalized Slash processes having axis-aligned finite dimensional distributions are simulated with the help of algorithms to simulate rank-k-continuous axis-aligned p-generalized elliptically contoured distributions.