I meant if I see the values the computer program generated, what tests could I use to see if it is working correctly? I am thinking to check if the average of the values estimates the mean, the values respect the autocorrelation function rules and I was wondering if there are more things I could...
Thank you for the help, I figured it out finally. I have one more question. Now I have the algorithm for simulating the process and I want to validate it. Can you give some hints how it must be done?
Yes, I understand what I have to calculate. Actually , what I don't understand is a result from a book I read. The idea is
X_t is a stationary gaussian process. I have m states.
p(t) = 1 - t/m the autocorrelation function.
So, p(t) = Cov(X_s, X_{s+t}) / Var(X_t) .
Now, to simulate it, are...
Thank you for the answer.
Can you explain in detail how can I use the weighted sums to force the autocorrelation and how can I find all the parameters I need?
Hi
I have a stationary gaussian process { X_t } and I have the correlation function p(t) = Corr(X_s, X_(s+t)) = 1 - t/m, where X_t is in {1,2,..,m}, and I want to simulate this process.
The main idea is to write X_t as sum from 1 to N of V_i, X_t+1 as sum from p+1 to N+p V_i and so on, where...