Fast generation of isotropic Gaussian random fields on the sphere
Artikel i vetenskaplig tidskrift, 2018

The efficient simulation of isotropic Gaussian random fields on the unit sphere is a task encountered frequently in numerical applications. A fast algorithm based on Markov properties and fast Fourier transforms in 1d is presented that generates samples on an n x n grid in O(n(2) log n). Furthermore, an efficient method to set up the necessary conditional covariance matrices is derived and simulations demonstrate the performance of the algorithm. An open source implementation of the code has been made available at https://github.com/pec27/smerfs.

Gaussian random fields

Gaussian Markov random fields

isotropic random fields

efficient simulation

fast Fourier transform

Författare

Peter E. Creasey

Univ Calif Riverside, Dept Phys & Astron

Annika Lang

Göteborgs universitet

Chalmers, Matematiska vetenskaper, Tillämpad matematik och statistik

Monte Carlo Methods and Applications

0929-9629 (ISSN)

Vol. 24 1 1-11

Ämneskategorier

Sannolikhetsteori och statistik

Signalbehandling

Annan elektroteknik och elektronik

DOI

10.1515/mcma-2018-0001