Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields

DOI10.1137/17M1149730zbMath1434.60114arXiv1710.00751OpenAlexW2964295897WikidataQ129646751 ScholiaQ129646751MaRDI QIDQ4572025

Frances Y. Kuo, Dirk Nuyens, Ivan G. Graham, Robert Scheichl, Ian H. Sloan

Publication date: 4 July 2018

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.00751

zbMATH Keywords

fast Fourier transformGaussian random fieldscirculant embeddingMatérn covariancestatistical homogeneity

Mathematics Subject Classification ID

Random fields (60G60) Computational methods for problems pertaining to statistics (62-08) Stationary stochastic processes (60G10) Monte Carlo methods (65C05)

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Uses Software

• AS 312

Cites Work

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• Some Extensions of W. Gautschi's Inequalities for the Gamma Function
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• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• An Algorithm for Simulating Stationary Gaussian Random Fields
• Scattered Data Approximation

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