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An approximate method for joint sequential simulation of multiple spatial variables
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DOI：10.1007/s00477-009-0322-2.png)
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Multivariate simulation is an important longstanding problem in geostatistics. Fitting a model of coregionalization to many variables is intractable and often not permitted; however, the matrix of collocated correlation coefficients is often well informed. Performing a matrix simulation with LU decomposition of the correlation matrix at each step of sequential simulation is implemented in some software. The target correlation matrix is not reproduced because of conditioning to local data and the particular variable ordering in the sequential/LU decomposition. A correction procedure is developed to calculate a modified correlation matrix that leads to reproduction of the target correlation matrix. The theoretical and practical aspects of this correction are developed.
Keyword:
Collocated cokriging
Multivariate simulation
Geostatistics
Correlation matrix
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