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Fast simulation of Gaussian random fields

Journal article
Authors Annika Lang
J. Potthoff
Published in Monte Carlo Methods and Applications
Volume 17
Issue 3
Pages 195-214
ISSN 0929-9629
Publication year 2011
Published at Department of Mathematical Sciences, Mathematical Statistics
Pages 195-214
Language en
Links dx.doi.org/10.1515/MCMA.2011.009
Keywords Fast Fourier transform , Gaussian random fields , Simulation
Subject categories Numerical analysis, Probability Theory and Statistics

Abstract

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.

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