Fast simulation of Gaussian random fields
Numerical Analysis
2013-07-19 v2
Abstract
Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on d-dimensional rectangular regions. The complexities of the algorithms are derived, simulation results and error analysis are presented.
Cite
@article{arxiv.1105.2737,
title = {Fast simulation of Gaussian random fields},
author = {Annika Lang and Jürgen Potthoff},
journal= {arXiv preprint arXiv:1105.2737},
year = {2013}
}
Comments
15 pages, 8 figures. Typos corrected in Algorithm 3, Remark (4), Algorithm 4, Remark (5), and Algorithm 5, Remark (5)