Generation of compound non-gaussian random processes with a given correlation function

S Primak

doi:10.1103/physreve.61.100

Generation of compound non-gaussian random processes with a given correlation function

Phys Rev E Stat Phys Plasmas Fluids Relat Interdiscip Topics. 2000 Jan;61(1):100-3. doi: 10.1103/physreve.61.100.

Author

S Primak¹

Affiliation

¹ Department of Electrical and Computer Engineering, The University of Western Ontario, London, Ontario, Canada N6A 5B9.

PMID: 11046245
DOI: 10.1103/physreve.61.100

Abstract

A compound representation of random processes is considered. Each independent component of such a process is considered as the solution of the proper stochastic differential equation (SDE). This guarantees that the process obtained is stationary and ergodic. The analytical expressions are developed for nonlinear coefficients of the generating SDE. Theoretical results are compared with numerical simulation.