Search results for: Non-Gaussian

1 Simulation of Sample Paths of Non Gaussian Stationary Random Fields

Authors: Fabrice Poirion, Benedicte Puig

Abstract:

Mathematical justifications are given for a simulation technique of multivariate nonGaussian random processes and fields based on Rosenblatt-s transformation of Gaussian processes. Different types of convergences are given for the approaching sequence. Moreover an original numerical method is proposed in order to solve the functional equation yielding the underlying Gaussian process autocorrelation function.

Keywords: Simulation, nonGaussian, random field, multivariate, stochastic process.

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