Numerical Simulation of Stochastic Processes

Abstract

A method has been derived to simulate a one-dimensional stationary stochastic process with a given autocorrelation function by a finite trigonometric sum. The coefficients of the latter are uncorrelated random numbers. A rigorous estimate of the degree of approximation to the autocorrelation function is given. The method is quite general and does not require the power spectrum to be rational.

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1971
Accession Number
AD0736614

Entities

People

  • Bernd Zondek

Organizations

  • Naval Surface Warfare Center Dahlgren Division

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes
  • Weapons Technologies

DTIC Thesaurus Topics

  • Abstracts
  • Autocorrelation
  • Data Science
  • Information Science
  • Normality
  • Ordnance Laboratories
  • Power Spectra
  • Probability
  • Probability Density Functions
  • Random Variables
  • Simulations
  • Spectra
  • Stationary
  • Stationary Processes
  • Stochastic Processes

Fields of Study

  • Mathematics

Readers

  • Calculus or Mathematical Analysis
  • Regression Analysis.