Simulation of infinitely divisible random fields

Details Simulation of infinitely divisible random fields Simulation of infinitely divisible random fields

2009-10-14

arxiv.org/abs/0910.2625v1

Mathematics

Probability

41 pages, 3 figures

Scientific paper

Two methods to approximate infinitely divisible random fields are presented. The methods are based on approximating the kernel function in the spectral representation of such fields, leading to numerical integration of the respective integrals. Error bounds for the approximation error are derived and the approximations are used to simulate certain classes of infinitely divisible random fields.

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