Exact simulation of complex-valued Gaussian stationary processes via circulant embedding

DOI10.1016/j.sigpro.2005.08.003zbMath1172.94540OpenAlexW2128362198MaRDI QIDQ1031131

Donald B. Percival

Publication date: 29 October 2009

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

Full work available at URL: https://doi.org/10.1016/j.sigpro.2005.08.003

zbMATH Keywords

time seriesstochastic processesdiscrete Fourier transformcomplex demodulationfast Fourier transform algorithm

Mathematics Subject Classification ID

Numerical methods for wavelets (65T60) Modulation and demodulation in information and communication theory (94A14)

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Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding, Fast and Exact Simulation of Complex-Valued Stationary Gaussian Processes Through Embedding Circulant Matrix