The book deals with the development and investigation of numerical methods for simulation of random processes and fields. The first two chapters describe scalar and vector-valued Gaussian models. Conventional autoregressive and moving-average schemes and their vector modifications are indicated.
Great attention is given to the spectral models.
In addition, several special methods are presented. The third chapter is dealt with non-Gaussian models. The method of nonlinear transformation of Gaussian functions is studied in some detail as well as models of random fields related to stationary point flows, models based on nonlinear stochastic differential equations, etc. The issues of compatibility of marginal distributions and covariances of random processes are considered here, too. The fourth chapter of the monograph is dealt with issues of convergence of approximate models of random fields.