Numerical Simulation of Stochastic Processes
NAVAL WEAPONS LAB DAHLGREN VA
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A method has been derived to simulate a one-dimensional stationary stochastic process with a given autocorrelation function by a finite trigonometric sum. The coefficients of the latter are uncorrelated random numbers. A rigorous estimate of the degree of approximation to the autocorrelation function is given. The method is quite general and does not require the power spectrum to be rational.
- Operations Research