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Circulant Embedding method for generating stationary Gaussian field

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Circulant Embedding method for generating stationary Gaussian field


Zdravko Botev (view profile)


Implements Dietrich and Newsam's circulant embedding method for fast generation of Gaussian fields.

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The script generates stationary Gaussian field over an m times n square grid. For a detailed mathematical explanation of the Matlab code and lots of examples see the companion paper:
 Kroese, D.P. and Botev, Z.I. (2013).
 "Spatial Process Generation."
 V. Schmidt (Ed.). Lectures on Stochastic Geometry, Spatial Statistics and Random Fields, Volume II: Analysis, Modeling and Simulation of Complex Structures, Springer-Verlag, Berlin.

Required Products MATLAB
MATLAB release MATLAB 7.11 (R2010b)
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Comments and Ratings (1)
06 Jun 2014 Knight Short

Very helpful code.

I am interested in How to use this circulant embedding method to generate a 3 dimensional stationary processes. The book does not describe that case in detail. Could we have a further communication?

Thank you for your consideration.

Best regards.

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