Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix

Jean-Francois Coeurjolly; Emilio Porcu

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arXiv · 1604.00362

Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix

Jean-Francois Coeurjolly·Emilio Porcu

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Abstract

This paper is concerned with the study of the embedding circulant matrix method to simulate stationary complex-valued Gaussian sequences. The method is, in particular, shown to be well-suited to generate circularly-symmetric stationary Gaussian processes. We provide simple conditions on the complex co-variance function ensuring the theoretical validity of the minimal embedding circulant matrix method. We show that these conditions are satisfied by many examples and illustrate the algorithm. In particular, we present a simulation study involving the circularly-symmetric fractional Brownian motion, a model introduced in this paper.

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Jean-Francois Coeurjolly, Emilio Porcu. 2016-04-01. Fast and exact simulation of complex-valued stationary Gaussian processes through embedding circulant matrix. https://arxiv.org/abs/1604.00362

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