Prediction and Conditional Simulation of a 2D Lognormal Diffusion Random Field

R. Gutiérrez (), C. Roldán (), R. Gutiérrez-Sánchez () and J. M. Angulo ()
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R. Gutiérrez: University of Granada
C. Roldán: University of Jaén
R. Gutiérrez-Sánchez: University of Granada
J. M. Angulo: University of Granada

Methodology and Computing in Applied Probability, 2007, vol. 9, issue 3, 413-423

Abstract: Abstract This paper describes techniques for estimation, prediction and conditional simulation of two-parameter lognormal diffusion random fields which are diffusions on each coordinate and satisfy a particular Markov property. The estimates of the drift and diffusion coefficients, which characterize the lognormal diffusion random field under certain conditions, are used for obtaining kriging predictors. The conditional simulations are obtained using the estimates of the drift and diffusion coefficients, kriging prediction and unconditional simulation for the lognormal diffusion random field.

Keywords: Conditional simulation; Diffusion random field; Kriging; Lognormal diffusion process; 60J60; 62M05; 62M30 (search for similar items in EconPapers)
Date: 2007
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DOI: 10.1007/s11009-007-9029-3

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