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arXiv · 1105.2737

Fast simulation of Gaussian random fields

Annika Lang·Jürgen Potthoff
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Abstract

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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Annika Lang, Jürgen Potthoff. 2013-02-12. Fast simulation of Gaussian random fields. https://doi.org/10.1515/mcma.2011.009

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