Exact Simulation of Noncircular or Improper Complex-Valued Stationary Gaussian Processes using Circulant Embedding

05/17/2016

∙

by   Adam M. Sykulski, et al.

∙

0

∙

share

This paper provides an algorithm for simulating improper (or noncircular) complex-valued stationary Gaussian processes. The technique utilizes recently developed methods for multivariate Gaussian processes from the circulant embedding literature. The method can be performed in O(n_2 n) operations, where n is the length of the desired sequence. The method is exact, except when eigenvalues of prescribed circulant matrices are negative. We evaluate the performance of the algorithm empirically, and provide a practical example where the method is guaranteed to be exact for all n, with an improper fractional Gaussian noise process.