Generation of a time series having a specified power spectrum with minimum roundoff noise

DOI10.1109/29.17530zbMATH Open0676.65149OpenAlexW2094115344MaRDI QIDQ3832035

Yujiro Inouye

Publication date: 1989

Published in: IEEE Transactions on Acoustics, Speech, and Signal Processing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1109/29.17530

zbMATH Keywords

time seriestransfer functionwhite noisepower spectrumMcMillan degreeshaping filterminimum roundoff noise

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Numerical optimization and variational techniques (65K10) Probabilistic methods, stochastic differential equations (65C99)

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