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Generation of Gaussian correlated pseudo-random numbers. (Russian) Zbl 0649.65009

A method for generating a finite realization of discrete Gaussian process with a given power spectrum is considered. The required random numbers are obtained as a product: \(\sqrt{2}HGX\), where X is a vector of independent uniformly distributed random numbers with zero mean, G is a diagonal matrix and H is a matrix of so called discrete Hartley transformation. Very fast numerical algorithm for calculating H already exist, so the described method is, according to the authors, much faster then the methods known up to now.
Reviewer: P.Staniewski

MSC:

65C10 Random number generation in numerical analysis
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