Accession Number:

AD0736614

Title:

Numerical Simulation of Stochastic Processes

Descriptive Note:

Technical rept.

Corporate Author:

NAVAL WEAPONS LAB DAHLGREN VA

Personal Author(s):

Report Date:

1971-10-01

Pagination or Media Count:

21.0

Abstract:

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.

Subject Categories:

  • Operations Research

Distribution Statement:

APPROVED FOR PUBLIC RELEASE