Efficient generation of conditional simulations by Chebyshev matrix polynomial approximations to the symmetric square root of the covariance matrix

DOI10.1007/BF02083211zbMath0970.86547MaRDI QIDQ5935072

C. R. Dietrich, G. N. Newsam

Publication date: 20 June 2001

Published in: Mathematical Geology (Search for Journal in Brave)

Mathematics Subject Classification ID

Geostatistics (86A32) Numerical computation of matrix norms, conditioning, scaling (65F35)

Related Items (5)

An \(\mathcal O(N\log N)\) fast direct solver for partial hierarchically semi-separable matrices. With application to radial basis function interpolation ⋮ Evaluating non-analytic functions of matrices ⋮ Moving averages for Gaussian simulation in two and three dimensions ⋮ General joint conditional simulations using a fast Fourier transform method ⋮ Advances in Gaussian random field generation: a review

Uses Software

• Mathematica
• IMSL Numerical Libraries

Cites Work

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• Computationally exploitable structure of covariance matrices and generalized convariance matrices in spatial models
• A Family of Block Preconditioners for Block Systems
• Best uniform rational approximation of 𝑥^{𝛼} on [0,1]
• 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

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