Hi(adsbygoogle = window.adsbygoogle || []).push({});

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 V_i are uniform variables in [-a, a]. From this point I will use the central limit theorem to prove that X_t is a normal variable. My question is: how can I find the correlation, covariance of X_T and X_t+k for example, a and p using this notification?

**Physics Forums | Science Articles, Homework Help, Discussion**

Join Physics Forums Today!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

The friendliest, high quality science and math community on the planet! Everyone who loves science is here!

# Gaussian process with linear correlation

Loading...

Similar Threads for Gaussian process linear |
---|

A What exactly is a "rare event"? (Poisson point process) |

A Simulation from a process given by "complicated" SDE |

I Sampling from a multivariate Gaussian distribution |

A Gaussian Process Puzzle |

**Physics Forums | Science Articles, Homework Help, Discussion**