Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding (Q548876): Difference between revisions

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-Vladas Pipiras
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+https://doi.org/10.1016/j.sigpro.2010.10.014
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+Tests for Hurst effect
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+Embedding nonnegative definite Toeplitz matrices in nonnegative definite circulant matrices, with application to covariance estimation
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+Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
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+Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
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+The simulation of random vector time series with given spectrum
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