STK_GENERATE_SAMPLEPATHS generates sample paths of a Gaussian process
CALL: ZSIM = stk_generate_samplepaths (MODEL, XT)
generates one sample path ZSIM of the Gaussian process MODEL discretized on
the evaluation points XT. The input argument XT can be either a numerical
matrix or a dataframe. The output argument ZSIM has the same number of
rows as XT. More precisely, on a factor space of dimension DIM,
* XT must have size NS x DIM,
* ZSIM will have size NS x 1,
where NS is the number of simulation points.
Note that, in the case where MODEL is a model for noisy observations, this
function simulates sample paths of the underlying (latent) Gaussian
process, i.e., noiseless observations.
CALL: ZSIM = stk_generate_samplepaths (MODEL, XT, NB_PATHS)
generates NB_PATHS sample paths at once. In this case, the output argument
ZSIM has size NS x NB_PATHS.
CALL: ZSIM = stk_generate_samplepaths (MODEL, XI, ZI, XT)
generates one sample path ZSIM, using the kriging model MODEL and the
evaluation points XT, conditional on the evaluations (XI, ZI).
CALL: ZSIM = stk_generate_samplepaths (MODEL, XI, ZI, XT, NB_PATHS)
generates NB_PATHS conditional sample paths at once.
NOTE: Sample size limitation
This function generates (discretized) sample paths using a Cholesky
factorization of the covariance matrix, and is therefore restricted to
moderate values of the number of evaluation points.
NOTE: Output type
The output argument ZSIM is a plain (double precision) numerical array,
even if XT is a data frame. Row names can be added afterwards as follows:
ZSIM = stk_generate_samplepaths (MODEL, XT);
ZSIM = stk_dataframe (ZSIM, {}, XT.rownames);
EXAMPLES: see stk_example_kb05, stk_example_kb07
See also stk_conditioning, stk_cholcov