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Fast simulation of Gaussian random fields
-
Annika Lang
and
Jürgen Potthoff
Published/Copyright:
June 7, 2011
Abstract
Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on rectangular regions of 
. The complexities of the algorithms are derived, simulation results and error analysis are presented.
Received: 2009-04-02
Revised: 2011-05-16
Accepted: 2011-05-23
Published Online: 2011-06-07
Published in Print: 2011-September
© de Gruyter 2011
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Articles in the same Issue
- Fast simulation of Gaussian random fields
- Simulation of sub-Gaussian processes using wavelets
- Towards automatic global error control: Computable weak error expansion for the tau-leap method
- Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
Articles in the same Issue
- Fast simulation of Gaussian random fields
- Simulation of sub-Gaussian processes using wavelets
- Towards automatic global error control: Computable weak error expansion for the tau-leap method
- Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
