Fast simulation of Gaussian random fields

被引：51

作者：

Lang, Annika ^{[1
,2
]}

Potthoff, Juergen ^{[1
]}

机构：

[1] Univ Mannheim, Fak Math & Informat, D-68131 Mannheim, Germany

[2] Swiss Fed Inst Technol, Seminar Angew Math, CH-8092 Zurich, Switzerland

来源：

MONTE CARLO METHODS AND APPLICATIONS | 2011年 / 17卷 / 03期

关键词：

Gaussian random fields; fast Fourier transform; simulation;

D O I：

10.1515/MCMA.2011.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

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

引用

页码：195 / 214

页数：20

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