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SIGPRO
2011

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Fast and exact synthesis of stationary multivariate Gaussian time series using circulant embedding

13 years 4 days ago

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A fast and exact procedure for the numerical synthesis of stationary multivariate Gaussian time series with a priori prescribed and well controlled autoand cross-covariance functi...

Hannes Helgason, Vladas Pipiras, Patrice Abry

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SIGPRO
2011

275views Hardware» more SIGPRO 2011»

Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embeddi

12 years 8 months ago

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The problem of synthesizing multivariate stationary series Y [n] = (Y1[n], . . . , YP [n])T , n ∈ Z, with prescribed non-Gaussian marginal distributions, and a targeted covarian...

Hannes Helgason, Vladas Pipiras, Patrice Abry

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