Autor:	Lang, Annika, Potthoff, Jürgen
Rok vydání:	2011
Předmět:	Mathematics - Numerical Analysis 65C05 65C50 60G60 60H40
Zdroj:	Monte Carlo Methods and Applications, 17 (2011), 195-214
Druh dokumentu:	Working Paper
DOI:	10.1515/MCMA.2011.009
Popis:	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. Comment: 15 pages, 8 figures. Typos corrected in Algorithm 3, Remark (4), Algorithm 4, Remark (5), and Algorithm 5, Remark (5)
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1105.2737 Zobrazit plný text záznamu View this record from Arxiv