An Algorithm for Simulating Stationary Gaussian Random Fields

DOI10.1111/1467-9876.00057zbMath0913.65142OpenAlexW2058401452MaRDI QIDQ4390935

Grace Chan, Andrew T. A. Wood

Publication date: 10 August 1998

Published in: Journal of the Royal Statistical Society Series C: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9876.00057

zbMATH Keywords

algorithmfast Fourier transformFortran programpositive definite covariance matrixToeplitz structurestationary Gaussian random fieldcirculant embedding matrix

Mathematics Subject Classification ID

Random fields (60G60) Probabilistic methods, stochastic differential equations (65C99) Software, source code, etc. for problems pertaining to probability theory (60-04)

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