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Published in:
2004 | OriginalPaper | Chapter
Time Series (Authors Michael Hauser and Wolfgang Hörmann)
Authors : Wolfgang Hörmann, Josef Leydold, Gerhard Derflinger
Published in: Automatic Nonuniform Random Variate Generation
Publisher: Springer Berlin Heidelberg
Included in: Professional Book Archive
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In this chapter we are concerned with times series, i.e. with the generation of sample paths of stochastic non-deterministic processes in discrete time, (X t ,t ∈ ℤ), where Xt are continuous random variates. In the first part we will focus our presentation on stationary Gaussian processes. These are most widely used in the analysis of, e.g., economic series or in signal processing.