Simulation of stochastic processes with given accuracy and reliability
In this book, methods of simulation of stochastic processes and fields with given accuracy and reliability are considered. Namely, suitable models are studied to approximate stochastic processes and fields in different functional spaces. This means that at first the authors construct the model and then use some adequacy tests to verify it. Only centered random processes and fields are considered, since simulation of determinate function can be made without any difficulties.NEWLINENEWLINEChapter 1 deals with the space of sub-Gaussian random variables and subclasses of this space containing strictly sub-Gaussian random variables. Different characteristics of these random variables are considered: sub-Gaussian standard, functional moments, etc. Special attention is devoted to inequalities estimating ``tails of the distribution of a random variable, or a sum of a random variable in the some functional spaces. In Chapter 2, general approaches for model construction of stochastic processes with given accuracy and reliability are studied. Special attention is paid to Karhunen-Loève and Fourier expansions of stochastic processes and their application to the simulation of stochastic processes. Chapter 3 is devoted to the model construction of Gaussian processes. The concept of the space of square-Gaussian random variables is introduced and the estimates of distribution of a square-Gaussian process supremum are found. Chapter 4 offers two approaches to construct the models of Gaussian stationary stochastic processes. In Chapter 5, the theorems on approximation of a model to the Gaussian random process in the integral spaces with given accuracy and reliability are proved. In Chapter 6, the modeling of the random Cox processes is studied. Chapter 7 deals with a model of a Gaussian stationary process with absolutely continuous spectrum, and Chapter 8 is devoted to simulation of Gaussian isotropic random fields on spheres.NEWLINENEWLINEThe book will be useful both for mathematicians and practitioners who deal with stochastic models. It contains rigorous formulas together with simulation results. The mathematical level of the book is high, however it is accessible for everybody who is interested in approximations of stochastic processes.
- Simulation of Stochastic Processes with Given Reliability and Accuracy
- The development of software for simulation of random processes with a given accuracy and reliability
- Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation
- Model accuracy and reliability of stochastic processes with discrete spectrum with respect to linear filter
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- On the modeling of linear system input stochastic processes with given accuracy and reliability
- Simulation of Gaussian stationary Ornstein-Uhlenbeck process with given reliability and accuracy in space \(C([0,T])\)
- Simulation of generalized fractional Brownian motion in \(C([0,T])\)
- Estimates for functionals of solutions to higher-order heat-type equations with random initial conditions
- Wavelet-based simulation of random processes from certain classes with given accuracy and reliability
- On one way of modeling a stochastic process with given accuracy and reliability
- Simulation of a fractional Brownian motion in the space \(L_p([0,T])\)
- Accuracy and reliability of a model of an isotropic and homogeneous Gaussian random field in the space $C(\mathbb {T})$
- Conditions for the sample continuity with probability one for square-Gaussian stochastic processes
- Model accuracy and reliability of stochastic processes with discrete spectrum with respect to linear filter
- Modelling of stochastic processes and fields
- scientific article; zbMATH DE number 529750 (Why is no real title available?)
- Statistical hypothesis testing for the shape of impulse response function
- scientific article; zbMATH DE number 1381085 (Why is no real title available?)
- scientific article; zbMATH DE number 1403118 (Why is no real title available?)
- Simulation of a Gaussian stationary process with a stable correlation function with a given reliability and accuracy
- Stochastic Processes: Fundamentals and Emerging Applications
- On test for checking hypothesis on expectation and covariance function of stochastic process
- Construction of a criterion for testing hypothesis about covariance function of a stationary Gaussian stochastic process with unknown mean
- Construction of the Karhunen-Loève model for an input Gaussian process in a linear system by using the output process
- The development of software for simulation of random processes with a given accuracy and reliability
- Simulation of Stochastic Processes with Given Reliability and Accuracy
- On statistical properties of the estimator of impulse response function
- On convergence of the uniform norm and approximation for stochastic processes from the space \(\mathbf{F}_\psi (\Omega)\)
- Fractional approximation of time separating stochastic processes by neural networks of compact support
- Simulation of N-dimensional second-order fluid models with different absorbing, reflecting and mixed barriers
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