Fast simulation of Gaussian random fields

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.

15 pages, 8 figures. Typos corrected in Algorithm 3, Remark (4), Algorithm 4, Remark (5), and Algorithm 5, Remark (5)

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