The estimation of accuracy of simulation of sub-Gaussian random processes
type: Item
instance of: scholarly article
zbMATH Open document ID: 0986.60037
author: A. O. Pashko
publication date: 2002-01-30T00:00:00Z
Mathematics Subject Classification ID: 60G15
zbMATH DE Number: 1698083
zbMATH Keywords: estimation of accuracy
zbMATH Keywords: simulation
zbMATH Keywords: sub-Gaussian random processes
zbMATH Keywords: Karhunen-Loeve decomposition
zbMATH Keywords: Fourier decomposition
zbMATH Keywords: processes with discrete spectrum
MaRDI profile type: Publication
title: The estimation of accuracy of simulation of sub-Gaussian random processes
published in: Visnyk. Matematyka. Mekhanika. Kyïvs'kyĭ Universytet Imeni Tarasa Shevchenka
review text: Let a random process \(X(t)\), \(t\in T\), have the representation \(X(t)=\sum_{k=1}^{\infty}f_{k}(t)\xi_{k}\), where \(\{\xi_{k}\}\) is a family of strong sub-Gaussian random variables. The process \(X_{M}(t)=\sum_{k=1}^{M}f_{k}(t)\xi_{k}\), \(t\in T,\) is called model of the process \(X(t)\). Let us suppose that processes \(X(t), X_{M}(t)\in C(T), M=1,2,\ldots\), where \(C(T)\) is the space of continuous bounded functions with norm \(\|x(t)\|_{C}=\sup_{t\in T}|x(t)|\). The author obtains estimates of accuracy of simulation by \(X_{M}(t)\) of the process \(X(t)\) in the cases of Karhunen-Loeve decomposition, the Fourier decomposition and stationary process with discrete spectrum.
reviewed by: Aleksandr D. Borisenko
description: scientific article; zbMATH DE number 1698083