Simulation of Some Autoregressive Markovian Sequences of Positive Random Variables
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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.
Winter Simulation Conference
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