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Exact simulation of noncircular or improper complex-valued stationary Gaussian processes using circulant embedding

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Abstract

This paper provides an algorithm for simulating improper (or noncircular) complex-valued stationary Gaussian processes. The technique utilizes recently developed methods for multi-variate Gaussian processes from the circulant embedding literature. The method can be performed in O(n log2 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.