Fast simulation of Gaussian random fields

descriptionPublicationkeyboard_double_arrow_right Article , Preprint , Other literature type 01 Jan 2011Embargo end date: 01 May 2011 Germany Publisher:Walter de Gruyter GmbHJournal:Monte Carlo Methods and Applications, volume 17 (issn: 0929-9629, eissn: 1569-3961,

Copyright policy )Funded by:EC | STAHDPDE

Authors: Annika Lang; Jürgen Potthoff;

doi: 10.1515/mcma.2011.009 , 10.48550/arxiv.1105.2737

arXiv: 1105.2737

Fast simulation of Gaussian random fields

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Abstract

Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on d-dimensional rectangular regions. The complexities of the algorithms are derived, simulation results and error analysis are presented.

15 pages, 8 figures. Typos corrected in Algorithm 3, Remark (4), Algorithm 4, Remark (5), and Algorithm 5, Remark (5)

Country

Germany

Related Organizations

ETH Zurich
Switzerland
University of Mannheim
Germany

Keywords

numerical examples, Gaussian random fields, Numerical Analysis (math.NA), White noise theory, algorithms, fast Fourier transform, 510, Other computational problems in probability, Complexity and performance of numerical algorithms, FOS: Mathematics, Random fields, complexities, Mathematics - Numerical Analysis, Numerical methods for discrete and fast Fourier transforms, error analysis, 65C05, 65C50, 60G60, 60H40

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