On Circulant Embedding for Gaussian Random Fields inR

Abstract

The high-dimensionality typically associated with discretized approximations to Gaussian random fields is a considerable hinderance to computationally efficient methods for their simulation. Many direct approaches require spectral decompositions of the associated covariance matrix and so are unable to complete the solving process in a timely fashion, if at all. However under certain conditions, we may construct block-circulant versions of the covariance matrix at hand thereby allowing access to fast-Fourier methods to perform the required operations with impressive speed. We demonstrate how circulant embedding and subsequent simulation can be performed directly in the R language. The approach is currently implemented in C for the R package RandomFields , and used in the recently released package lgcp . Motivated by applications dealing with spatial point processes we restrict attention to stationary Gaussian fields on R 2 , where sparsity of the covariance matrix cannot necessarily be assumed.