Towards Generic Simulation for Demanding Stochastic Processes

We outline and test a new methodology for genuine simulation of stochastic processes with any dependence structure and any marginal distribution. We reproduce time dependence with a generalized, time symmetric or asymmetric, moving-average scheme. This implements linear filtering of non-Gaussian whi...

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Bibliographic Details
Main Authors: Demetris Koutsoyiannis, Panayiotis Dimitriadis
Format: Article
Language:English
Published: MDPI AG 2021-09-01
Series:Sci
Subjects:
Online Access:https://www.mdpi.com/2413-4155/3/3/34