An algorithm for simulating stationary Gaussian random fields

Journal of the Royal Statistical Society. Series C: Applied Statistics

Volumn 46, Issue 1, 1997, Pages 171-181

  Chan, Grace ^b   Wood, Andrew T A ^a  

^a UNIVERSITY OF BATH   (United Kingdom)

^b UNIVERSITY OF NEW SOUTH WALES   (Australia)

Author keywords

Circulant; Fast Fourier transform; Positive definite covariance matrix; Toeplitz structure

Indexed keywords

COMPUTER SIMULATION; FAST FOURIER TRANSFORMS; FORTRAN (PROGRAMMING LANGUAGE); FUNCTIONS; MATRIX ALGEBRA; RANDOM PROCESSES;

CIRCULANT EMBEDDING; COVARIANCE FUNCTIONS; STATIONARY GAUSSIAN RANDOM FIELD; TOEPLITZ STRUCTURE;

ALGORITHMS;

EID: 0031340667     PISSN: 00359254     EISSN: None     Source Type: Journal    
DOI: 10.1111/1467-9876.00057     Document Type: Article

References (5)

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2. Dietrich, C. R. and Newsam, G. N. (1993) A fast and exact method for multidimensional gaussian stochastic simulations. Wat. Resour. Res., 29, 2861-2869.
3. Numerical Algorithms Group (1991) NAG Fortran Library Manual, Mark 15. Oxford: Numerical Algorithms Group.
4. Tong, Y. L. (1982) Probability Inequalities in Multivariate Distributions. New York: Academic Press.
5. d. J. Comput. Graph. Statist., 3, 409-432.