Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

Signal Processing

Volumn 91, Issue 8, 2011, Pages 1741-1758

  Helgason, Hannes ^a   Pipiras, Vladas ^b   Abry, Patrice ^c  

^a ROYAL INSTITUTE OF TECHNOLOGY   (Sweden)

^b The University of North Carolina at Chapel Hill   (United States)

^c UNIVERSITÉ DE LYON   (France)

Author keywords

Circulant matrix embedding; Multivariate Gaussian and non Gaussian series; Numerical synthesis; Stationarity

Indexed keywords

CIRCULANT MATRIX; COVARIANCE STRUCTURES; EMBEDDING TECHNIQUE; GAUSSIANS; HERMITE EXPANSION; MARGINAL DISTRIBUTION; MATLAB CODE; MEMORYLESS; NETWORK TRAFFIC MODELING; NON-GAUSSIAN MARGINAL DISTRIBUTION; NUMERICAL SYNTHESIS; POSITIVE DEFINITENESS; PRACTICAL PROCEDURES; REACHABILITY; STATIONARITY; SYNTHESIS PROCEDURE;

GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC);

COVARIANCE MATRIX;

EID: 79955476890     PISSN: 01651684     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.sigpro.2011.01.020     Document Type: Article

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