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Some results of error evaluation for a non-Gaussian simulation method

Author

Listed:
  • Akian Jean-Luc

    (ONERA, BP72 92322 Châtillon, France)

  • Puig Bénédicte

    (Universite de Paris X-Nanterre, France)

Abstract

In a first part of the paper a simulation method for a strictly stationary non-Gaussian process with given one-dimensional marginal distribution (or N-first statistical moments) and autocorrelation function is recalled. This method was already widely treated in the articles [14] and [13]. The objective of the present paper is twofold: first, to simplify this method - if by Mehler formula it is possible to find an autocorrelation function yielding the target autocorrelation function, and second, analyze the difference between the given autocorrelation function and the model one.

Suggested Citation

  • Akian Jean-Luc & Puig Bénédicte, 2004. "Some results of error evaluation for a non-Gaussian simulation method," Monte Carlo Methods and Applications, De Gruyter, vol. 10(1), pages 51-68, March.
    • Handle: RePEc:bpj:mcmeap:v:10:y:2004:i:1:p:51-68:n:3
    DOI: 10.1515/156939604323091207
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