Unified Analysis of Periodization-Based Sampling Methods for Matérn Covariances

DOI10.1137/19M1269877zbMath1471.60047arXiv1905.13522MaRDI QIDQ5130585

Van Kien Nguyen, Markus Bachmayr, Robert Scheichl, Ivan G. Graham

Publication date: 28 October 2020

Published in: SIAM Journal on Numerical Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1905.13522

zbMATH Keywords

Matérn covariancescirculant embeddingperiodizationstationary Gaussian random fields

Mathematics Subject Classification ID

Random fields (60G60) Gaussian processes (60G15) Numerical methods for trigonometric approximation and interpolation (65T40) Fourier series and coefficients in several variables (42B05)

Related Items (2)

Initialization of the circulant embedding method to speed up the generation of Gaussian random fields ⋮ Multilevel Quasi Monte Carlo Methods for Elliptic PDEs with Random Field Coefficients via Fast White Noise Sampling

Cites Work

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• Sparse polynomial approximation of parametric elliptic PDEs. Part II: lognormal coefficients
• Efficient approximation of random fields for numerical applications
• Fast and Exact Simulation of Stationary Gaussian Processes through Circulant Embedding of the Covariance Matrix
• Analysis of Circulant Embedding Methods for Sampling Stationary Random Fields

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