A Krylov subspace method for covariance approximation and simulation of random processes and fields

DOI10.1023/A:1023530718764zbMath1056.93020OpenAlexW1561428091MaRDI QIDQ1398035

Alan S. Willsky, Michael K. Schneider

Publication date: 6 August 2003

Published in: Multidimensional Systems and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/a:1023530718764

zbMATH Keywords

simulationmatrix square rootconjugate gradientKrylov subspaceLanczoscovariance matrix approximationsample

Mathematics Subject Classification ID

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