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

In this paper a new algorithm for generating a random process with a given marginal distri- bution and autocorrelation function is presented. By using the truncated distribution instead of the order statistics used in the earlier algorithm, the proposed algorithm achieves signiiScant speed up and ac...

Full description

Saved in:
Bibliographic Details
Published inInternational journal of computer mathematics Vol. 78; no. 4; pp. 521 - 537
Main Authors Rodionov, A.S, Choo, H, Youn, H.Y, Chung, T.M
Format Journal Article
LanguageEnglish
Published Gordon and Breach Science Publishers 01.01.2001
Subjects
Autocorrelation
G.3
I.6
Newton Optimization
Random Process
Randomized Markov Chain
Simulation
Online AccessGet full text

Cover

More Information
Summary:In this paper a new algorithm for generating a random process with a given marginal distri- bution and autocorrelation function is presented. By using the truncated distribution instead of the order statistics used in the earlier algorithm, the proposed algorithm achieves signiiScant speed up and accuracy. We also develop a scheme for deciding the transition probability matrix based on the Newton optimization technique, that is one of the key steps in the proposed algo-rithm. The experiment for 16 state randomized Markov chain shows about 14 times accelera-tion in comparison with the earher algorithm. The storage requirement is also much smaller.
ISSN:0020-7160
1029-0265
DOI:10.1080/00207160108805129