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