On Simulation of Manifold Indexed Fractional Gaussian Fields

To simulate fractional Brownian motion indexed by a manifold poses serious numerical problems: storage, computing time and choice of an appropriate grid. We propose an effective and fast method, valid not only for fractional Brownian fields indexed by a manifold, but for any Gaussian fields indexed by a manifold. The performance of our method is illustrated with different manifolds (sphere, hyperboloid).

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Year of publication:	2010-08-05
Authors:	Brouste, Alexandre ; Istas, Jacques ; Lambert-Lacroix, Sophie
Published in:	Journal of Statistical Software. - American Statistical Association. - Vol. 36.2010, i04
Publisher:	American Statistical Association

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Extent:	text/html
Type of publication:	Article
Language:	English
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10009018349