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On a continuous spectral algorithm for simulating non-stationary Gaussian random fields

Author:
Emery, Xavier, Arroyo, Daisy
Source:
Stochastic environmental research and risk assessment 2018 v.32 no.4 pp. 905-919
ISSN:
1436-3240
Subject:
algorithms, covariance, models
Abstract:
This paper presents an algorithm for simulating Gaussian random fields with zero mean and non-stationary covariance functions. The simulated field is obtained as a weighted sum of cosine waves with random frequencies and random phases, with weights that depend on the location-specific spectral density associated with the target non-stationary covariance. The applicability and accuracy of the algorithm are illustrated through synthetic examples, in which scalar and vector random fields with non-stationary Gaussian, exponential, Matérn or compactly-supported covariance models are simulated.
Agid:
5908993