Fast and exact simulation of univariate and bivariate Gaussian random fields

DOI10.1002/STA4.188MaRDI QIDQ6541460zbMATH OpenFDO

Authors Olga Moreva, M. Schlather

Publication date 19 May 2024

Published in Stat (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/STA4.188

zbMATH Keywords

circulant embeddingcompactly supported covariance functioncut-off embeddingmatrix-valued covariance functionmultivariate geostatistics

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

• A valid Matérn class of cross-covariance functions for multivariate random fields with any number of components
• Criteria of Pólya type for radial positive definite functions
• Cross-covariance functions for multivariate geostatistics
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding
• scientific article; zbMATH DE number 3223982 (Why is no real title available?)
• Matérn cross-covariance functions for multivariate random fields
• Multivariate spatial covariance models: a conditional approach
• Stochastic Models That Separate Fractal Dimension and the Hurst Effect
• The Fourier-series method for inverting transforms of probability distributions
• Vector random fields with compactly supported covariance matrix functions

Cited in

(1)

• Dirichlet-Neumann averaging: the DNA of efficient Gaussian process simulation

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