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Some simulation results as to weakly correlated processes

✍ Scribed by J. vom Scheidt; B. Fellenberg

Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
965 KB
Volume
29
Category
Article
ISSN
0378-4754

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✦ Synopsis

The investigation of linear functionals of weakly correlated processes which arise e.g. from the solutions of random differential equation problems are dealt with. A brief survey of the theory of weakly correlated processes is given, and especially, approximations of moments and distributions of these functionals are deduced which depend on the correlation length. Furthermore, functions of such functionals are considered.

In the main part these results are confirmed by simulation. For this, a method of simulation of weakly correlated processes is given and the simulation results are used for the comparison of the theoretically-calculated with the statistically-determined values of some characteristics. Several examples of simulations are added.

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