A sample-based iterative scheme for simulating non-stationary non-Gaussian stochastic processes
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DOI: 10.1016/j.ymssp.2020.107420
Abstract: Abstract This paper presents a new numerical scheme for simulating stochastic processes specified by their marginal distribution functions and covariance functions. Stochastic samples are first generated to satisfy target marginal distribution functions. An iterative algorithm… read more here.
Keywords: stochastic processes; non gaussian; scheme simulating; non stationary ... See more keywords