Mathematica code for numerical generation of random process with given distribution and exponential autocorrelation function
Stochastic simulations commonly require random process generation with a predefined probability density function (PDF) and an exponential autocorrelation function (ACF). Such processes may be represented as a solution of a stochastic differential equation (SDE) of the first order. The numerically-st...
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| Format: | Article |
| Language: | English |
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Elsevier
2018-07-01
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| Series: | SoftwareX |
| Online Access: | http://www.sciencedirect.com/science/article/pii/S235271101730033X |