Simulation accuracy of stationary Gaussian stochastic processes inL
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Authors: | Yu V Kozachenko L F Kozachenko |
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Abstract: | Models of stationary Gaussian stochastic processes with discrete and continuous spectra are constructed. Simulation of stationary Gaussian processes with a continuous spectrum is considered for the following cases: when the covariance function of the stochastic process is expandable in a Fourier series with positive coefficients; when the spectrum of the stationary Gaussian stochastic process is concentrated on the interval 0, ]; and in the general case. The stationary Gaussian process is simulated with prescribed reliability and accuracy in L2(0, T).Kiev University. Translated from Vychislitel'naya i Prikladnaya Matematika, No. 75, pp. 108–115, 1991. |
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