GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS

Abstract

A method is evoked which produces a non‐stationary (and possibly non‐Gaussian) stochastic process with given statistics to second order. The method is useful either for simulation solution of stochastic differential equations or stochastic modeling of system performance.

Citation

ADOMIAN, G. and ELROD, M. (1981), "GENERATION OF A STOCHASTIC PROCESS WITH DESIRED FIRST‐ AND SECOND‐ORDER STATISTICS", Kybernetes, Vol. 10 No. 1, pp. 25-30. https://doi.org/10.1108/eb005572