Constrained stochastic simulation -- generation of time series around some specific event in a normal process (Q881410)
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English | Constrained stochastic simulation -- generation of time series around some specific event in a normal process |
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Constrained stochastic simulation -- generation of time series around some specific event in a normal process (English)
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29 May 2007
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This paper deals with constrained stochastic simulation. Time series around some specific event in a normal process can be generated by means of constrained stochastic simulation. This method can be applied for any event which can be expressed as a linear expression of the involved random variables. It is demonstrated for the local maxima and velocity jumps. Two examples are given in the paper: the generation of stochastic time series around local maxima and the generation of stochastic time series around a combination of a local minimum and maximum with a specified time separation.
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extreme conditions
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time series
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constrained stochastic simulation
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