Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding

DOI10.1016/j.sigpro.2010.10.014zbMath1221.62123OpenAlexW2034769681MaRDI QIDQ548876

Hannes Helgason, Patrice Abry, Vladas Pipiras

Publication date: 30 June 2011

Published in: Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.sigpro.2010.10.014

zbMATH Keywords

stationaritynumerical synthesistime-reversibility

Mathematics Subject Classification ID

Related Items (16)

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Uses Software

• Matlab

Cites Work

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• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Simulating a class of stationary Gaussian processes using the Davies-Harte algorithm, with application to long memory processes
• SAMPLE MEANS, SAMPLE AUTOCOVARIANCES, AND LINEAR REGRESSION OF STATIONARY MULTIVARIATE LONG MEMORY PROCESSES

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