Moving-Average approximations of random epsilon-correlated processes

Description

The paper considers approximations of time-continuous epsilon-correlated random
processes by interpolation of time-discrete Moving-Average processes. These approximations
are helpful for Monte-Carlo simulations of the response of systems
containing random parameters described by
epsilon-correlated processes. The paper focuses
on the approximation of stationary
epsilon-correlated processes with a prescribed
correlation function. Numerical results are presented.

Links & Downloads

1. urn:nbn:de:swb:ch1-200401266
2. https://monarch.qucosa.de/id/qucosa%3A18205
3. https://monarch.qucosa.de/api/qucosa%3A18205/attachment/ATT-0/
4. https://monarch.qucosa.de/api/qucosa%3A18205/attachment/ATT-1/

Tags

info:eu-repo/classification/ddc/510

ddc:510

Monte-Carlo simulation

Moving-Average process

epsilon-correlated process

integral functional

stationary process

Additional Fields

Identifer	oai:union.ndltd.org:DRESDEN/oai:qucosa:de:qucosa:18205
Date	31 August 2004
Creators	Kandler, Anne, Richter, Matthias, vom Scheidt, Jürgen, Starkloff, Hans-Jörg, Wunderlich, Ralf
Publisher	Technische Universität Chemnitz
Source Sets	Hochschulschriftenserver (HSSS) der SLUB Dresden
Language	English
Detected Language	English
Type	doc-type:lecture, info:eu-repo/semantics/lecture, doc-type:Text
Rights	info:eu-repo/semantics/openAccess