On the generation of correlated time series with a given probability density function.

DOI10.1016/S0165-1684(98)00165-0zbMath1053.62557MaRDI QIDQ1275515

Sergey Primak, Oren Kaufman, Mark Kliger, Vladimir Z. Lyandres

Publication date: 12 January 1999

Published in: Signal Processing (Search for Journal in Brave)

zbMATH Keywords

PDFStochastic differential equationLocal linearizationNonlinear autoregression

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Pulse nonstationary processes generated by dynamic systems with random structure ⋮ Stochastic chaos induced by diffusion processes with identical spectral density but different probability density functions ⋮ Onset of stochastic synchronization induced by diffusion processes in a generalized Duffing system ⋮ Dynamic systems with random structure: An approach to the generation of nonstationary stochastic processes ⋮ Probability functional of a vector non-Gaussian Markov process and its communication application

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