Physica D
Simulation of stationary Gaussian vector fields
Statistics and Computing
Sketch-based change detection: methods, evaluation, and applications
Proceedings of the 3rd ACM SIGCOMM conference on Internet measurement
Fractal-Based Point Processes
Non-Gaussian and Long Memory Statistical Characterizations for Internet Traffic with Anomalies
IEEE Transactions on Dependable and Secure Computing
The hitchhiker's guide to successful wireless sensor network deployments
Proceedings of the 6th ACM conference on Embedded network sensor systems
New Introduction to Multiple Time Series Analysis
New Introduction to Multiple Time Series Analysis
Coloring Non-Gaussian Sequences
IEEE Transactions on Signal Processing
IEEE Transactions on Information Theory
The simulation of random vector time series with given spectrum
Mathematical and Computer Modelling: An International Journal
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The problem of synthesizing multivariate stationary series Y[n]=(Y"1[n],...,Y"P[n])^T, n@?Z, with prescribed non-Gaussian marginal distributions, and a targeted covariance structure, is addressed. The focus is on constructions based on a memoryless transformation Y"p[n]=f"p(X"p[n]) of a multivariate stationary Gaussian series X[n]=(X"1[n],...,X"P[n])^T. The mapping between the targeted covariance and that of the Gaussian series is expressed via Hermite expansions. The various choices of the transforms f"p for a prescribed marginal distribution are discussed in a comprehensive manner. The interplay between the targeted marginal distributions, the choice of the transforms f"p, and on the resulting reachability of the targeted covariance, is discussed theoretically and illustrated on examples. Also, an original practical procedure warranting positive definiteness for the transformed covariance at the price of approximating the targeted covariance is proposed, based on a simple and natural modification of the popular circulant matrix embedding technique. The applications of the proposed methodology are also discussed in the context of network traffic modeling. Matlab codes implementing the proposed synthesis procedure are publicly available at http://www.hermir.org.