Fast simulation of Gaussian random fields

Lang Annika () and Potthoff Jürgen ()
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Lang Annika: Fakultät für Mathematik und Informatik, Universität Mannheim, 68131 Mannheim, Germany.
Potthoff Jürgen: Fakultät für Mathematik und Informatik, Universität Mannheim, 68131 Mannheim, Germany.

Monte Carlo Methods and Applications, 2011, vol. 17, issue 3, 195-214

Abstract: Fast Fourier transforms are used to develop algorithms for the fast generation of correlated Gaussian random fields on rectangular regions of . The complexities of the algorithms are derived, simulation results and error analysis are presented.

Keywords: Gaussian random fields; fast Fourier transform; simulation (search for similar items in EconPapers)
Date: 2011
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DOI: 10.1515/mcma.2011.009

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