Spatial Matérn fields driven by non-Gaussian noise
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Abstract: The article studies non-Gaussian extensions of a recently discovered link between certain Gaussian random fields, expressed as solutions to stochastic partial differential equations (SPDEs), and Gaussian Markov random fields. The focus is on non-Gaussian random fields with Mat'ern covariance functions, and in particular we show how the SPDE formulation of a Laplace moving average model can be used to obtain an efficient simulation method as well as an accurate parameter estimation technique for the model. This should be seen as a demonstration of how these techniques can be used, and generalizations to more general SPDEs are readily available.
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Cited in
(34)- Weak convergence of Galerkin approximations for fractional elliptic stochastic PDEs with spatial white noise
- A note on moving average models for Gaussian random fields
- Hybrid simulation scheme for volatility modulated moving average fields
- A general framework for SPDE-based stationary random fields
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- Numerical approximation of Gaussian random fields on closed surfaces
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