Generation of pseudo random processes with given marginal distribution and autocorrelation function

DOI10.1080/00207160108805129zbMath0991.65003OpenAlexW1996859484MaRDI QIDQ2776790

Tai M. Chung, Hyunseung Choo, Hee Yong Youn, Alexei S. Rodionov

Publication date: 5 May 2002

Published in: International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00207160108805129

zbMATH Keywords

algorithmorder statisticssimulationnumerical examplesrandom processautocorrelationNewton optimizationpseudo random process generationrandomized Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical analysis or methods applied to Markov chains (65C40) Random number generation in numerical analysis (65C10)

Cites Work

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