An Algorithm for Simulating Stationary Gaussian Random Fields

DOI10.1111/1467-9876.00057zbMATH Open0913.65142OpenAlexW2058401452MaRDI QIDQ4390935FDOQ4390935

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

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zbMATH Keywords

algorithm fast Fourier transform positive definite covariance matrix Fortran program Toeplitz structure stationary Gaussian random field circulant 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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Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields
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