Generating an autocorrelated sequence of random variates without distorting their distribution

DOI10.1016/0378-4754(82)90051-9zbMath0473.60090OpenAlexW2042780597MaRDI QIDQ1158692

John R. Metzner

Publication date: 1982

Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0378-4754(82)90051-9

zbMATH Keywords

stationary sequencemoving averagesstorage requirementspseudorandom variables

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic models, generic numerical methods in probability and statistics (65C20) Special processes (60K99) Random number generation in numerical analysis (65C10)

Related Items (2)

Computer experiments for the analysis of extreme-value phenomena ⋮ A method to generate autocorrelated uniform random numbers

Cites Work

• A composite approach to generating autocorrelated sequences
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