Circulant Embedding method, How to generate two correlated random fields?
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May be this is not right forum to ask this question,but still i hope someone will help me. I have to generate two correlated random series X and Y. I have values generating functions for auto correlation of XX and YY. Similarly i have values generation functions of cross correlation for XY and YX. These all correlation functions are in Fourier transform space (omega space). i am generating sequences of values through every correlation function. Every sequence has 3200 values. So in total i have four sequences , two for auto correlation function and two for cross correlation functions. Now i am confused, How to create my correlation matrix in Toeplitz matrix form. Can any body help me? Thanks in advance
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