Constructions of Particular Random Processes

Proceedings of the IEEE

Volumn 82, Issue 2, 1994, Pages 270-285

  Johnson, Glenn Eric ^a  

^a Analytic Sciences Corporation   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEMS; MONTE CARLO METHODS; PROBABILITY; SIGNAL PROCESSING;

MULTIMODAL DISTRIBUTIONS;

RANDOM PROCESSES;

EID: 0028378451     PISSN: 00189219     EISSN: 15582256     Source Type: Journal    
DOI: 10.1109/5.265353     Document Type: Article

References (40)

1. D. Middleton, An Introduction to Statistical Communication Theory. New York: McGraw-Hill, 1960.
2. D. Middleton, “Canonically optimum threshold detection,” IEEE Trans. Informat. Theory, vol. IT-12, no. 2, pp. 230–243, 1966.
3. H. L. van Trees, Detection, Estimation, and Modulation Theory: Part I. New York: Wiley, 1968.
4. Applied Optimal Estimation, A. Gelb, Ed. Boston, MA: The M.I.T. Press, 1989.
5. J. T. Tou and R. C. Gonzalez, Pattern Recognition Principles. Reading, MA: Addison-Wesley, 1975.
6. A. M. Maras, “Locally optimum detection in moving average non-Gaussian noise,” IEEE Trans. Commun., vol. 36, no. 8, pp. 907–912, 1988.
7. A. B. Martinez, P. F. Swaszek, and J. B. Thomas, “Locally optimum detection in multivariate non-Gaussian noise,” IEEE Trans. Informat. Theory, vol. IT-30, pp. 815–822, 1984.
8. S. T. Li and J. L. Hammond, “Generation of pseudorandom numbers with specified univariate distributions and correlation coefficients,” IEEE Trans. Syst., Man, Cybern., vol. SMC-5, no. 5, pp. 557–561, 1975.
9. D. E. Knuth, The Art of Computer Programming, Seminumerical Algorithms vol. 2. Reading, MA: Addison-Wesley, 1969, sec. 3.2.1.
10. Handbook of Mathematical Functions, M. Abramowitz and I. A. Stegun, Eds. Washington, DC: U.S. Gov. Printing Office, 1964, sec. 26.8.
11. T. G. Lewis, Distribution Sampling for Coupled Simulation. Toronto, Ont., Canada: Lexington Books, 1975.
12. R. Y. Rubinstein, Simulation and the Monte Carlo Method. New York: Wiley, 1981.
13. P. Bratley, B. L. Fox, and L. E. Schrage, A Guide to Simulation. New York: Springer-Verlag, 1983.
14. C. M. Rader, L. R. Rabiner, and R. W. Schafer, “A fast method of generating digital random numbers,” Bell Syst. Tech. J., pp. 2303–2310, 1970.
15. W. H Press, B. P. Flannery, S. A. Teukolsky, and W. T. Vetterling, Numerical Recipes. Cambridge, UK: Cambridge Univ. Press, 1988, ch. 7.
16. B. W. Schmeiser, “Random process generation,” Tech. Rep. DTIC-ADA086758, June 1980.
17. G. M. Dilliard, “Generating random numbers having probability distributions occuring in signal detection problems,” IEEE Trans. Informat. Theory, pp. 616–617, 1967.
18. G. Picci, “Stochastic realization of Gaussian processes,” Proc. IEEE, vol. 64, no. 1, pp. 112–122, 1976.
19. J. M. Geist, “Computer generation of correlated Gaussian random variables,” Proc. IEEE, vol. 67, no. 5, pp. 862–863, 1979.
20. L. E. Franks and W. A. Gardner, “Characterization of cyclostationary random signal processes,” IEEE Trans. Informat. Theory, vol. IT-21, no. 1, pp. 4–14, 1975.
21. P. G. Hoel, Introduction to Mathematical Statistics, 5th ed. New York: Wiley, 1984.
22. A. Papoulis, Probability, Random Variables and Stochastic Processes. New York: McGraw-Hill, 1984.
23. I. M. Gel'fand, and N. Ya. Vilenkin, Generalized Functions, vol. 4. New York: Academic Press, 1964, ch. III.
24. W. Rudin, Real and Complex Analysis. New York: McGraw-Hill, Hill, 1974.
25. T. Kailath, “Innovations approach to detection and estimation,” Proc. IEEE, vol. 58, no. 5, pp. 680–695, 1970.
26. Fundamentals of Mathematics, vol. III, H. Behnke, F. Bachmann, K. Fladt, and W. Süss, Eds. Boston, MA: MIT Press, 1986, ch. 3a.
27. R. A. Roberts and C. T. Mullis, Digital Signal Processing. Reading, MA: Addison-Wesley, 1987.
28. B. Liu and D. C. Munson Jr., “Generation of a random sequence having a jointly specified marginal distribution and autocovariance,” IEEE Trans. Acoust., Speech, Signal Process., vol. ASSP-30, no. 6, pp. 973–983, 1982.
29. L. S. Dewald and P. A. W. Lewis, “A new Laplace second-order order autoregressive time-series model-NLAR(2),” IEEE Trans. Informat. Theory, vol. IT-31, no. 5., pp. 645–651, 1985.
30. D. L. Jagerman and B. Melamed, “The transition and autocorrelation correlation structure of TES processes, Part I: General theory,” Commun. Statist. Stochastic Models, vol. 8, no. 2, pp. 193–219, 1992.
31. D. L. Jagerman and B. Melamed, “The transition and autocorrelation structure of TES processes, Part II: Special cases,” Commun. Statist. Stochastic Models, vol. 8, no. 3, pp. 499–527, 1992.
32. B. Simon, The P() 2 Euclidean (Quantum) Field Theory. Princeton, NJ: Princeton Univ. Press, 1974, ch. 1, pp. 9–11.
33. G. C. Wick, “The evaluation of the collision matrix,” Phys. Rev., vol. 80, p. 268, 1950.
34. L. Isserlis, “On a formula for the product-moment coefficient of any order of a normal frequency distribution in any number of variables,” Biometrika, vol. XII, pp. 134–139, 1918.
35. W. A. Gardner, Introduction to Random Processes: With Applications to Signals and Systems. New York: McGraw-Hill, 1990, pp. 115–117.
36. W. J. Szajnowski, “The generation of correlated Weibull clutter for signal detection problems,” IEEE Trans. Aerosp. Electron. Syst., vol. AES-13, no. 5, pp. 536–540, 1977.
37. M. Loève, Probability Theory. New York: D. van Nostrand, 1963, ch. X.
38. G. Jona-Lasino, “Probabilistic approach to critical behaviour,” in New Developments in Quantum Field Theory and Statistical Mechanics, M. Lévy and P. Mitter, Eds. New York: Plenum, 1977.
39. W. Feller, An Introduction to Probability Theory and Its Applications, Volume II. New York: Wiley, 1966.
40. J. A. Shohat and J. D. Tamarkin, The Problem of Moments. Providence, RI: Am. Math Soc., 1963.