Simulation of Some Autoregressive Markovian Sequences of Positive Random Variables.

Abstract

Methods for simulating dependent sequences of continuous positive-valued random variables with exponential, Gamma, mixed exponential and uniform marginal distributions are given. In most cases the sequences are first-order, linear autoregressive, Markovian processes. A two-parameter family of this type with exponential marginals is defined and its transformation to a similar multiplicative process with uniform marginals is given. It is shown that for a subclass of this two-parameter family extension to mixed exponential marginals is possible, giving a model of broad applicability for analyzing data and modelling stochastic systems. Efficient simulation of some of these schemes is discussed. (Author)

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Document Details

Document Type
Technical Report
Publication Date
Oct 01, 1979
Accession Number
ADA087368

Entities

People

  • A. J. Lawrance
  • Peter A. W. Lewis

Organizations

  • Naval Postgraduate School

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Communities of Interest

  • Materials and Manufacturing Processes

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  • Additives (Chemicals)
  • Algorithms
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  • Military Research
  • Operations Research
  • Probability
  • Probability Density Functions
  • Random Variables
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  • Stationary
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Fields of Study

  • Mathematics

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  • Statistical inference.