Title :
ARMA Signals With Specified Symmetric Marginal Probability Distribution
Author :
Picinbono, Bernard
Author_Institution :
Lab. des Signaux et Syst. (L2S), Ecole Super. d´´Electricite, Gif-sur-Yvette, France
fDate :
3/1/2010 12:00:00 AM
Abstract :
Except in the case of normal (i.e., Gaussian) distribution, it is very difficult to calculate the marginal probability distribution of ARMA signals. By using a particular form of modeling such signals with random coefficients we show that the problem can be solved and we present an algorithm allowing the numerical generation of ARMA signals with arbitrary specified marginal distribution function. Their properties are analyzed in computer experiments. The experimental results show in general a very good agreement with theoretical calculations.
Keywords :
autoregressive moving average processes; signal processing; ARMA signals; numerical generation; random coefficients; signal modeling; symmetric marginal probability distribution; ARMA signals; Bernoulli signals; autoregressive signals; innovation; linear prediction; moving average signals; non-Gaussian signals and noise; probability distribution; random coefficients; signal and noise modeling; statistical signal analysis;
Journal_Title :
Signal Processing, IEEE Transactions on
DOI :
10.1109/TSP.2009.2037076