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Fractional Brownian field or surface generator

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Fractional Brownian field or surface generator

by Zdravko Botev

 

07 Nov 2012

Generates fractional Brownian field or surface with a given Hurst parameter using Stein's method.

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For a detailed mathematical explanation of the Matlab code and lots of examples see the companion paper:
weblink:
http://www.maths.uq.edu.au/~kroese/ps/MCSpatial.pdf
 
 Kroese, D.P. and Botev, Z.I. (2013).
 "Spatial Process Generation."
 V. Schmidt (Ed.). Lectures on Stochastic Geometry, Spatial Statistics and Random Fields, Volume II: Analysis, Modeling and Simulation of Complex Structures, Springer-Verlag, Berlin.

Required Products MATLAB
MATLAB release MATLAB 7.11 (R2010b)
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circulant embedding, circulant matrix, fractional brownian surface, stationary gaussian process, wiener sheet
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