Coloring Non-Gaussian Sequences

Authors:
J.C.S.S. Filho;M.D. Yacoub
Affiliations:
Dept. of Commun., Univ. of Campinas, Campinas;-
Venue:
IEEE Transactions on Signal Processing
Year:
2008

Citing 0
Cited 3

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Representation and generation of non-Gaussian wide-sense stationary random processes with arbitrary PSDs and a class of PDFs

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Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding

Signal Processing

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Abstract

We propose a novel method for generating random sequences matching both a target non-Gaussian distribution and a target autocorrelation. In the proposed scheme, samples matching the target distribution are drawn independently and then suitably rearranged to match the target autocorrelation. Our method overcomes the difficulties of the standard method in generating sequences with unknown inverse distribution. Many examples are included.