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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
Keywords Fast Fourier transform , Gaussian random fields , Simulation
Subject categories Numerical analysis, Probability Theory and Statistics


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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