Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

DOI10.1016/j.sigpro.2011.01.020zbMath1217.94002OpenAlexW1968485253MaRDI QIDQ553681

Patrice Abry, Hannes Helgason, Vladas Pipiras

Publication date: 27 July 2011

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

Full work available at URL: https://doi.org/10.1016/j.sigpro.2011.01.020

zbMATH Keywords

stationaritynumerical synthesiscirculant matrix embeddingmultivariate Gaussian and non-Gaussian series

Mathematics Subject Classification ID

Signal theory (characterization, reconstruction, filtering, etc.) (94A12) Software, source code, etc. for problems pertaining to information and communication theory (94-04)

Related Items

Wavelet-based analysis of non-Gaussian long-range dependent processes and estimation of the Hurst parameter ⋮ Multivariate Hadamard self-similarity: testing fractal connectivity ⋮ The tenth Vilnius conference on probability theory and mathematical statistics. II ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion

Uses Software

• Matlab
• itsmr

Cites Work

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