Bryc's random fields: the existence and distributions analysis

Research paper by Wojciech Matysiak, Paweł J. Szabłowski

Indexed on: 16 Jul '05Published on: 16 Jul '05Published in: Mathematics - Probability


We examine problem of existence of stationary random fields with linear regressions and quadratic conditional variances, introduced by Bryc in "Stationary random fields with linear regressions" (Annals of Probability 29, No. 1, 504-519). Distributions of the fields are identified and almost complete description of the possible sets of parameters defining the first two conditional moments is given. This note almost solves Bryc's problem concerning fields undetermined by moments - the only remaining set of parameters for which the existence of Bryc's fields is unclear has Lebesgue measure zero.