Fast and exact simulation of Gaussian random fields defined on the sphere cross time

Francisco Cuevas; Denis Allard; Emilio Porcu

doi:10.1007/s11222-019-09873-1

Fast and exact simulation of Gaussian random fields defined on the sphere cross time

Francisco Cuevas^*, Denis Allard, Emilio Porcu

^*Corresponding author for this work

Research output: Contribution to journal › Journal article › Research › peer-review

7 Citations (Scopus)

Abstract

We provide a method for fast and exact simulation of Gaussian random fields on the sphere having isotropic covariance functions. The method proposed is then extended to Gaussian random fields defined over the sphere cross time and having covariance functions that depend on geodesic distance in space and on temporal separation. The crux of the method is in the use of block circulant matrices obtained working on regular grids defined over longitude and latitude.

Original language	English
Journal	Statistics and Computing
Volume	30
Issue number	1
Pages (from-to)	187-194
Number of pages	8
ISSN	0960-3174
DOIs	https://doi.org/10.1007/s11222-019-09873-1
Publication status	Published - 1 Feb 2020

Bibliographical note

Publisher Copyright:
© 2019, Springer Science+Business Media, LLC, part of Springer Nature.

Keywords

Circulant embedding
Fast Fourier transform
Gaussian random fields
Space-time simulation

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abstract = "We provide a method for fast and exact simulation of Gaussian random fields on the sphere having isotropic covariance functions. The method proposed is then extended to Gaussian random fields defined over the sphere cross time and having covariance functions that depend on geodesic distance in space and on temporal separation. The crux of the method is in the use of block circulant matrices obtained working on regular grids defined over longitude and latitude.",

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AU - Allard, Denis

AU - Porcu, Emilio

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N2 - We provide a method for fast and exact simulation of Gaussian random fields on the sphere having isotropic covariance functions. The method proposed is then extended to Gaussian random fields defined over the sphere cross time and having covariance functions that depend on geodesic distance in space and on temporal separation. The crux of the method is in the use of block circulant matrices obtained working on regular grids defined over longitude and latitude.

AB - We provide a method for fast and exact simulation of Gaussian random fields on the sphere having isotropic covariance functions. The method proposed is then extended to Gaussian random fields defined over the sphere cross time and having covariance functions that depend on geodesic distance in space and on temporal separation. The crux of the method is in the use of block circulant matrices obtained working on regular grids defined over longitude and latitude.

KW - Circulant embedding

KW - Fast Fourier transform

KW - Gaussian random fields

KW - Space-time simulation

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DO - 10.1007/s11222-019-09873-1

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ER -

Fast and exact simulation of Gaussian random fields defined on the sphere cross time

Abstract

Bibliographical note

Keywords

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AUB Link

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