Article ID Journal Published Year Pages File Type
4949169 Computational Statistics & Data Analysis 2018 23 Pages PDF
Abstract
Algorithms to generate random variates from probability density function of Gauss-Markov processes restricted by special lower reflecting boundary are formulated. They are essentially obtained by means of discretizations of stochastic equations or via acceptance-rejection methods. Particular attention is dedicated to restricted Wiener and Ornstein-Uhlenbeck processes.
Related Topics
Physical Sciences and Engineering Computer Science Computational Theory and Mathematics
Preview
Generating random variates from PDF of Gauss-Markov processes with a reflecting boundary
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