ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS

DOI10.1111/1467-9892.00040zbMath0883.60034OpenAlexW2054913669MaRDI QIDQ4337827

Tze-Chien Sun, Milton Chaika

Publication date: 1997

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00040

zbMATH Keywords

simulationGaussian stationary processes

Mathematics Subject Classification ID

Gaussian processes (60G15) Stationary stochastic processes (60G10) Monte Carlo methods (65C05)

Related Items (4)

Simulation of Real Discrete Time Gaussian Multivariate Stationary Processes with Given Spectral Densities ⋮ Nonparametric change point detection in multivariate piecewise stationary time series ⋮ Simulation of Real-Valued Discrete-Time Periodically Correlated Gaussian Processes with Prescribed Spectral Density Matrices ⋮ Some computational aspects of Gaussian CARMA modelling

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