The covariance matrix function is characterized in this paper for a Gaussian or elliptically contoured vector random field that is stationary, isotropic, and mean square continuous on the compact two-point homogeneous space. Necessary and sufficient conditions are derived for a symmetric and continuous matrix function to be an isotropic covariance matrix function on all compact two-point homogeneous spaces. It is also shown that, for a symmetric and continuous matrix function with compact support, if it makes an isotropic covariance matrix function in the Euclidean space, then it makes an isotropic covariance matrix function on the sphere or the real projective space.Keywords Covariance matrix function · Elliptically contoured random field · Gaussian random field · Isotropy · Stationarity · Jacobi polynomial · Bessel function Mathematics Subject Classification (2010) 60G60 · 62M10 · 62M30
IntroductionA d-dimensional compact two-point homogeneous space M d is a compact Riemannian symmetric space of rank one, and belongs to one of the following five families ([14], [29]): the unit spheres S d (d = 1, 2, . . .), the real projective spaces P d (R) (d = 2, 4, . . .), the complex projective spaces P d (C) (d = 4, 6, . . .), the quaternionic projective spaces P d (H) (d = 8, 12, . . .), and the Cayley elliptic plane P 16 (Cay) or