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The generation of non-Gaussian random processes with a given autocorrelation function (ACF) is addressed. The generation is based on a compound process with two components. Both components are solutions of… Click to show full abstract
The generation of non-Gaussian random processes with a given autocorrelation function (ACF) is addressed. The generation is based on a compound process with two components. Both components are solutions of appropriate stochastic differential equations (SDEs). One of the components is a Gaussian process and the other one is non-Gaussian with an exponential ACF. The analytical study shows that a compound combination of these processes may be used for the generation of a non-Gaussian random process with a required ACF. The results are verified by two numerical examples.
Journal Title: Fluctuation and Noise Letters
Year Published: 2017
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