Spline-Interpolation-Based FFT Approach to Fast Simulation of Multivariate Stochastic Processes
نویسندگان
چکیده
منابع مشابه
Spline-Interpolation-Based FFT Approach to Fast Simulation of Multivariate Stochastic Processes
The spline-interpolation-based fast Fourier transform FFT algorithm, designated as the SFFT algorithm, is proposed in the present paper to further enhance the computational speed of simulating the multivariate stochastic processes. The proposed SFFT algorithm first introduces the spline interpolation technique to reduce the number of the Cholesky decomposition of a spectral density matrix and s...
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ژورنال
عنوان ژورنال: Mathematical Problems in Engineering
سال: 2011
ISSN: 1024-123X,1563-5147
DOI: 10.1155/2011/842183