Computationally efficient cholesky factorization of a covariance matrix with block toeplitz structure

DOI10.1080/00949659308811481zbMath0829.65145OpenAlexW1967639991MaRDI QIDQ4851427

C. R. Dietrich

Publication date: 22 January 1996

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659308811481

zbMATH Keywords

numerical experimentsparallel computationCholesky factorizationcovariance matrixstochastic simulationsdisplacement structurefast algorithmmatrix factorizationGaussian random fieldsfactorization algorithmsmatrix triangulation

Mathematics Subject Classification ID

Random fields (60G60) Analysis of variance and covariance (ANOVA) (62J10) Direct numerical methods for linear systems and matrix inversion (65F05) Probabilistic methods, stochastic differential equations (65C99)

Related Items (6)

High resolution simulation of nonstationary Gaussian random fields ⋮ Some results on unilateral ARMA lattice processes ⋮ Sparse matrix tools for Gaussian models on lattices ⋮ Generating correlated gaussian random fields by orthogonal polynomial approximations to the square root of the covariance matrix ⋮ Computationally efficient generation of Gaussian conditional simulations over regular sample grids ⋮ Two-way ANOVA by using Cholesky decomposition and graphical representation

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