An Algorithm for Simulating Stationary Gaussian Random Fields

DOI10.1111/1467-9876.00057MaRDI QIDQ4390935zbMATH OpenOpenAlexFDO

Authors Grace Chan, Andrew T. A. Wood

Publication date 10 August 1998

Published in Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/1467-9876.00057

zbMATH Keywords

algorithmfast Fourier transformpositive definite covariance matrixFortran programToeplitz structurestationary Gaussian random fieldcirculant embedding matrix

Mathematics Subject Classification ID

Probabilistic methods, stochastic differential equations (65C99) Random fields (60G60) Software, source code, etc. for problems pertaining to probability theory (60-04)

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• Predicting threshold exceedance by local block means in soil pollution surveys
• Testing the correctness of the sequential algorithm for simulating Gaussian random fields
• On simulation of a fractional Ornstein-Uhlenbeck process of the second kind by the circulant embedding method
• Generation of random fields defined on a cluster of points when the random field has a given site-to-site correlation
• Effective generation of compressed stationary Gaussian fields
• Quasi-Monte Carlo methods for elliptic PDEs with random coefficients and applications
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• scientific article; zbMATH DE number 2169696 (Why is no real title available?)
• Exact simulation of complex-valued Gaussian stationary processes via circulant embedding
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
• Efficient generation of conditional simulations by Chebyshev matrix polynomial approximations to the symmetric square root of the covariance matrix
• Initialization of the circulant embedding method to speed up the generation of Gaussian random fields
• scientific article; zbMATH DE number 4070790 (Why is no real title available?)
• Simulation of binary random fields with Gaussian numerical models
• On optimal spatial subsample size for variance estimation
• Models for extremal dependence derived from skew-symmetric families
• Computationally efficient algorithm for Gaussian process regression in case of structured samples
• Circulant embedding with QMC: analysis for elliptic PDE with lognormal coefficients
• Analysis of Boundary Effects on PDE-Based Sampling of Whittle--Matérn Random Fields
• An empirical likelihood method for spatial regression
• A Levinson-Type Algorithm for Discrete Stationary Random Fields
• Multilevel approximation of Gaussian random fields: fast simulation

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