• DocumentCode
    945889
  • Title

    Generation of a sampled Gaussian time series having a specified correlation function

  • Author

    Levin, Morris J.

  • Volume
    6
  • Issue
    5
  • fYear
    1960
  • fDate
    12/1/1960 12:00:00 AM
  • Firstpage
    545
  • Lastpage
    548
  • Abstract
    A computationally convenient method is presented for simulating a sequence of sampled values of a stationary Gaussian process having a specified correlation function or power spectrum. Z -transform theory is applied to provide a simple recursive formula for generating the values from a set of independent Gaussian random variables.
  • Keywords
    Correlation functions; Gaussian processes; Time series; Computational modeling; Covariance matrix; Digital simulation; Eigenvalues and eigenfunctions; Gaussian processes; Helium; Information theory; Missiles; Nonlinear filters; Power generation; Random variables; Sampling methods;
  • fLanguage
    English
  • Journal_Title
    Information Theory, IRE Transactions on
  • Publisher
    ieee
  • ISSN
    0096-1000
  • Type

    jour

  • DOI
    10.1109/TIT.1960.1057600
  • Filename
    1057600
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=945889