Fast simulation of Gaussian random fields
Journal article, 2011

Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on rectangular regions of ℝ d. The complexities of the algorithms are derived, simulation results and error analysis are presented. © de Gruyter 2011.

Simulation

Fast Fourier transform

Gaussian random fields

Author

Annika Lang

University of Gothenburg

Chalmers, Mathematical Sciences, Mathematical Statistics

J. Potthoff

Monte Carlo Methods and Applications

0929-9629 (ISSN)

Vol. 17 3 195-214

Subject Categories

Computational Mathematics

Probability Theory and Statistics

DOI

10.1515/MCMA.2011.009

More information

Created

10/7/2017