On fractional Gaussian random fields simulations - Archive ouverte HAL
Article Dans Une Revue Journal of Statistical Software Année : 2007

On fractional Gaussian random fields simulations

Résumé

To simulate Gaussian fields poses serious numerical problems: storage and computing time. The midpoint displacement method is often used for simulating the fractional Brownian fields because it is fast. We propose an effective and fast method, valid not only for fractional Brownian fields, but for any Gaussian fields. First, our method is compared with midpoint for fractional Brownian fields. Second, the performance of our method is illustrated by simulating several Gaussian fields. The software FieldSim is an R package developed in R and C and that implements the procedures on which this paper focuses.
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Dates et versions

hal-00853131 , version 1 (22-08-2013)

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  • HAL Id : hal-00853131 , version 1

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Alexandre Brouste, Jacques Istas, Sophie Lambert-Lacroix. On fractional Gaussian random fields simulations. Journal of Statistical Software, 2007, 23 (1), pp.1-23. ⟨hal-00853131⟩
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