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) 15693961 (eISSN)
Vol. 17 3 195-214Ämneskategorier
Beräkningsmatematik
Sannolikhetsteori och statistik
DOI
10.1515/MCMA.2011.009