Diffusion-type models with given marginal distribution and autocorrelation function
نویسندگان
چکیده
منابع مشابه
Diffusion-type Models with given Marginal Distribution and Autocorrelation Function
Flexible stationary diffusion-type models are developed that can fit both the marginal distribution and the correlation structure found in many time series from e.g. finance and turbulence. Diffusion models with linear drift and a known and prespecified marginal distribution are studied, and the diffusion coefficients corresponding a large number of common probability distributions are found ex...
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Simulation procedures are frequently used for demonstrating theoretical results as well as for modelling real situations. In some cases it is necessary to generate pseudorandom numbers not only with a given marginal distribution but also with a given covariance structure. Chamitov [7] writes that the problem was formulated already in 1963. It is particularly important in simulating dynamical sy...
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ژورنال
عنوان ژورنال: Bernoulli
سال: 2005
ISSN: 1350-7265
DOI: 10.3150/bj/1116340291