Some results of error evaluation for a non-Gaussian simulation method
نویسندگان
چکیده
In a first part is recalled a simulation method for a strictly stationary non-Gaussian process given its one-dimensional marginal distribution (or its -first statistical moments) and its autocorrelation function. This method was already widely treated in the articles [14] and [13]. The objective of the present paper is twofold : firstly simplify this method when by Mehler formula it is possible to find an autocorrelation function yielding the target autocorrelation function, secondly analyze the error made between the given autocorrelation function and the model one.
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عنوان ژورنال:
- Monte Carlo Meth. and Appl.
دوره 10 شماره
صفحات -
تاریخ انتشار 2004