Simulation of infinitely divisible random fields

DOI10.1080/03610918.2011.634536MaRDI QIDQ5299818zbMATH OpenOpenAlexFDO

Authors Wolfgang Karcher, Hans-Peter Scheffler, Evgeny Spodarev

Publication date 21 June 2013

Published in Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0910.2625, http://nbn-resolving.de/urn:nbn:de:bsz:289-vts-70175

zbMATH Keywords

Haar waveletinfinitely divisible distributionspectral representationstochastic approximation

Mathematics Subject Classification ID

Random fields (60G60)

Abstract: 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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• Approximation and simulation of infinite-dimensional Lévy processes
• Nonparametric estimation of the kernel function of symmetric stable moving average random functions
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• An inverse problem for infinitely divisible moving average random fields
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• Statistical simulation of an exponentially correlated many-dimensional random field
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