Fast simulation of Gaussian random fields

Details Fast simulation of Gaussian random fields Fast simulation of Gaussian random fields

2011-05-13

arxiv.org/abs/1105.2737v1

Mathematics

Numerical Analysis

15 pages, 8 figures

Scientific paper

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

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