Gaussian process simulation using Cholesky

This R notebook covers discrete-time Gaussian processes and the Cholesky decomposition of the covariance matrix. It introduces some well-known Gaussian processes and includes interactive R-shiny apps to simulate them based on the Cholesky method.

Brownian motion

Brownian bridge

Fractional Brownian motion

Usage

To clone this repository :

git clone https://github.com/celinenguyentu/Gaussian_process_via_Cholesky.git

To render the R notebook, run this command in your R console :

rmarkdown::run("Gaussian_Process_via_Cholesky.Rmd")