 |
 |
|
|
| HAL : hal-00709250, version 1 |
| Fiche détaillée |  Récupérer au format |
 |
| The 9th International Geostatistics Congress, Oslo., Oslo : Norway (2012) |
|
|
|
|
| Simulation of a Gaussian random vector: A propagative version of the Gibbs sampler. |
|
|
Christian Lantuéjoul 1Nicolas Desassis 1 |
|
|
| (18/06/2012) |
|
|
|
| Starting from the Gibbs sampler, an iterative algorithm is designed for simulating a gaussian random vector, that requires neither the inversion nor the factorization of a covariance matrix, without resting on a markovian assumption. A brief survey is given of the various ways to implement it. An example illustrates its feasibility, and a theoretical result is stated about its rate of convergence. |
|
|
|
|
|
|
|
|
|
|
|
| 1 : | Centre de Géosciences (GEOSCIENCES) |
|
|
|
MINES ParisTech - École nationale supérieure des mines de Paris |
|
|
|
|
|
|
|
|
|
| Domaine | : | Mathématiques/Statistiques Statistiques/Théorie |
| hal-00709250, version 1 | |
| http://hal-ensmp.archives-ouvertes.fr/hal-00709250 | |
| oai:hal-ensmp.archives-ouvertes.fr:hal-00709250 | |
| Contributeur : Nicolas Desassis | |
| Soumis le : Lundi 18 Juin 2012, 12:02:03 | |
| Dernière modification le : Lundi 18 Juin 2012, 12:02:03 | |
