On simulation of manifold indexed fractional Gaussian fields

Alexandre Brouste (1) , Jacques Istas (2) , Sophie Lambert (2)

1 Département de Mathématiques [Le Mans]
2 SMS - Statistique et Modélisation Stochatisque

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).

Mots clés: manifold indexed fractional Brownian field; simulation

Domaines: Statistiques [math.ST]; Théorie [stat.TH]

Alexandre Brouste, Jacques Istas, Sophie Lambert. On simulation of manifold indexed fractional Gaussian fields. Journal of Statistical Software, 2010, 36 (4), pp.1-14. ⟨hal-00853119⟩