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. 
-transform theory is applied to provide a simple recursive formula for generating the values from a set of independent Gaussian random variables.
-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 :
