Generation of random sequences with jointly specified probability density and autocorrelation functions

DOI10.1007/BF00337087zbMath0504.65006WikidataQ52709721 ScholiaQ52709721MaRDI QIDQ1836264

R. E. Kearney, I. W. Hunter

Publication date: 1983

Published in: Biological Cybernetics (Search for Journal in Brave)

zbMATH Keywords

system identificationnumerical simulationnon-Gaussian datafirst-order auto-correlation functionfirst-order probability distributiongeneration of random sequencessignal processing algorithms

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10) Probabilistic methods, stochastic differential equations (65C99)

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