On the generation of correlated time series with a given probability density function

Sergey Primak, Vladimir Lyandres, Oren Kaufman, Mark Kliger

Research output: Contribution to journalArticlepeer-review

26 Scopus citations

Abstract

The approach presented provides very good results in modelling non-Gaussian time series. It is validated by direct numerical simulation of bimodal and Nakagami distributed sequences with approximately exponential correlation function.

Original languageEnglish
Pages (from-to)61-68
Number of pages8
JournalSignal Processing
Volume72
Issue number2
DOIs
StatePublished - 15 Jan 1999

Keywords

  • Local linearization
  • Non-linear autoregression
  • PDF
  • Stochastic differential equation

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