An Algorithm for Simulating Stationary Gaussian Random Fields (Q4390935)
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scientific article; zbMATH DE number 1156937
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| English | An Algorithm for Simulating Stationary Gaussian Random Fields |
scientific article; zbMATH DE number 1156937 |
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An Algorithm for Simulating Stationary Gaussian Random Fields (English)
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10 August 1998
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algorithm
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fast Fourier transform
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positive definite covariance matrix
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Toeplitz structure
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Fortran program
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circulant embedding matrix
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stationary Gaussian random field
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0.9130211
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0.91019523
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0.9067981
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0.89208686
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This paper describes a Fortran program which determines a suitable circulant embedding matrix and simulates a stationary Gaussian random field on a grid. The proposed procedure is based on the idea of circulant embedding. This approach was used in the work of \textit{R. B. Davies} and \textit{D. S. Harte} [Biometrica, 74, 95-101 (1987; Zbl 0612.62123)] in the one-dimensional case and after that was rediscovered and extended to higher dimensions by \textit{C. R. Dietrich} and \textit{G. N. Newsam} [Wat. Resour. Res. 29, 2861-2869 (1993)] and \textit{A. T. A. Wood} and \textit{G. Chan} [J. Comput. Graph. Statist. 3, 409-432 (1994)]. In this paper both one-dimensional and two-dimensional grids are considered. The authors claim that there is no problem in principle in extending the procedure to grids in more dimensions.
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