Simulation of Some Autoregressive Markovian Sequences of Positive Random Variables
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Authors
Lawrance, A.J.
Lewis, P.A.W.
Subjects
Autoregressive processes
Markovian sequences
Exponential sequences
Ganna sequences
Mixed exponential sequences
First-order processes
Linear autoregressive processes
Uniform marginals
Simulation
Markovian sequences
Exponential sequences
Ganna sequences
Mixed exponential sequences
First-order processes
Linear autoregressive processes
Uniform marginals
Simulation
Advisors
Date of Issue
1979-10
Date
Publisher
Monterey, California: Naval Postgraduate School
Language
Abstract
Methods of simulation depending sequences of continuous positive-valued random variables with exponential and uniform marginal distributions are given. In most cases the sequences are first-order, linear autoregressive, Markovian processes. A two-parameter family of this type with exponential marginals is defined and its transformation to a similar multiplicative process with uniform marginals is given. It is shown that for a subclass of this two-parameter family extension to mixed exponential marginals is possible, giving a model of broad applicability for analyzing data and modeling stochastic systems. Efficient simulation of some of these schemes is discussed.
Type
Technical Report
Description
Paper presented at the Winter Simulation Conference, December 1979.
Prepared for: Chief of Naval Research Arlington, Virginia 22217
Prepared for: Chief of Naval Research Arlington, Virginia 22217
Series/Report No
Department
Operations Research (OR)
Organization
Naval Postgraduate School (U.S.)
Identifiers
NPS Report Number
NPS55-79-024
Sponsors
Funding
Office of Naval Research under Grant NR-42-284
Format
31 p.
Citation
Distribution Statement
Approved for public release; distribution is unlimited.
Rights
This publication is a work of the U.S. Government as defined in Title 17, United States Code, Section 101. Copyright protection is not available for this work in the United States.