On the compatibility between the spatial moments and the codomain of a real random field

Abstract

While any symmetric and positive semidefinite mapping can be the non-centered covariance of a Gaussian random field, it is known that these conditions are no longer sufficient when the random field is valued in a two-point set. The question therefore arises of what are the necessary and sufficient conditions for a mapping $\rho: \X \times \X \to \R$ to be the non-centered covariance of a random field with values in a subset ${\cE}$ of $\R$. Such conditions are presented in the general case when ${\cE}$ is a closed subset of the real line, then examined for some specific cases. In particular, if ${\cE}=\R$ or $\Z$, it is shown that the conditions reduce to $\rho$ being symmetric and positive semidefinite. If ${\cE}$ is a closed interval or a two-point set, the necessary and sufficient conditions are more restrictive: the symmetry, positive semidefiniteness, upper and lower boundedness of $\rho$ are no longer enough to guarantee the existence of a random field valued in ${\cE}$ and having $\rho$ as its non-centered covariance. Similar characterizations are obtained for semivariograms and higher-order spatial moments, as well as for multivariate random fields.