- AutorIn
- Anne Kandler
- Matthias Richter
- Jürgen vom Scheidt
- Hans-Jörg Starkloff
- Ralf Wunderlich
- Titel
- Moving-Average approximations of random epsilon-correlated processes
- Zitierfähige Url:
- https://nbn-resolving.org/urn:nbn:de:swb:ch1-200401266
- Abstract (EN)
- The paper considers approximations of time-continuous epsilon-correlated random processes by interpolation of time-discrete Moving-Average processes. These approximations are helpful for Monte-Carlo simulations of the response of systems containing random parameters described by epsilon-correlated processes. The paper focuses on the approximation of stationary epsilon-correlated processes with a prescribed correlation function. Numerical results are presented.
- Andere Ausgabe
- URL
Link: http://nbn-resolving.de/urn:nbn:de:swb:ch1-200401180 - Freie Schlagwörter
- Monte-Carlo simulation
- Moving-Average process
- epsilon-correlated process
- integral functional
- stationary process
- Klassifikation (DDC)
- 510
- Publizierende Institution
- Technische Universität Chemnitz, Chemnitz
- URN Qucosa
- urn:nbn:de:swb:ch1-200401266
- Veröffentlichungsdatum Qucosa
- 31.08.2004
- Dokumenttyp
- Vorlesung/Vortrag
- Sprache des Dokumentes
- Englisch