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2010

ARMA signals with specified symmetric marginal probability distribution

11 years 8 months ago
ARMA signals with specified symmetric marginal probability distribution
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.
Bernard C. Picinbono
Added 22 May 2011
Updated 22 May 2011
Type Journal
Year 2010
Where TSP
Authors Bernard C. Picinbono
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