Use of Input Deformations with Brownian Motion Filters for Discontinuous Regression

Financial and risk modelling with semicontinuous covariances

“…For instance, it was observed that in some situations it can be useful to use semicontinuous covariance functions instead of continuous ones. One example is an application of input deformations with Brownian motion filters for discontinuous regression (see [10]). For a treatment of discontinuous nature of kriging interpolation see e.g.…”