An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem

DOI10.1515/MCMA-2013-0004zbMath1322.65026OpenAlexW2038556747MaRDI QIDQ2844295

R. V. jun. Field, Clark R. Dohrmann, Mircea D. Grigoriu

Publication date: 28 August 2013

Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/mcma-2013-0004

zbMATH Keywords

numerical exampleMonte Carlo algorithmstochastic processShannon's sampling theoremnon-stationary Gaussian processeson-the-fly sample generation

Mathematics Subject Classification ID

Gaussian processes (60G15) Monte Carlo methods (65C05)

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