Computationally efficient cholesky factorization of a covariance matrix with block toeplitz structure (Q4851427)

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scientific article; zbMATH DE number 804159
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Computationally efficient cholesky factorization of a covariance matrix with block toeplitz structure
scientific article; zbMATH DE number 804159

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    Computationally efficient cholesky factorization of a covariance matrix with block toeplitz structure (English)
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    22 January 1996
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    Gaussian random fields
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    stochastic simulations
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    matrix triangulation
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    displacement structure
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    matrix factorization
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    factorization algorithms
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    fast algorithm
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    Cholesky factorization
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    covariance matrix
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    parallel computation
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    numerical experiments
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