Generation of pseudo random processes with given marginal distribution and autocorrelation function

DOI10.1080/00207160108805129MaRDI QIDQ2776790zbMATH OpenOpenAlexFDO

Authors Hyunseung Choo, Hee Yong Youn, Tai M. Chung

Publication date 5 May 2002

Published in International Journal of Computer Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207160108805129

zbMATH Keywords

algorithmautocorrelationNewton optimizationnumerical examplesorder statisticspseudo random process generationrandom processrandomized Markov chainsimulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Random number generation in numerical analysis (65C10) Numerical analysis or methods applied to Markov chains (65C40)

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