Fast simulation of Gaussian random fields
Artikel i vetenskaplig tidskrift, 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

Författare

Annika Lang

Göteborgs universitet

Chalmers, Matematiska vetenskaper, matematisk statistik

J. Potthoff

Monte Carlo Methods and Applications

0929-9629 (ISSN)

Vol. 17 195-214

Ämneskategorier

Beräkningsmatematik

Sannolikhetsteori och statistik

DOI

10.1515/MCMA.2011.009