Generation and analysis of non-Gaussian Markov time series

DOI10.1109/78.127957zbMATH Open0743.62088OpenAlexW2152228690MaRDI QIDQ4005166FDOQ4005166

Authors P. Srinavasa Rao, Don H. Johnson, David D. Becker

Publication date 27 September 1992

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/78.127957

zbMATH Keywords

linear modelsnonlinear methodsfiltered white noisecorrelated non-Gaussian Markov sequencesdiagonal series expansion of bivariate densitiesfirst-order linear autoregressive modelhyperbolic secant amplitude distribution

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20)

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(2)

• Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution
• Stochastic time series with strong, correlated measurement noise: Markov analysis in \(N\) dimensions

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