Digital simulation of an arbitrary stationary stochastic process by spectral representation.

Abstract

In this paper we present a straightforward, efficient, and computationally fast method for creating a large number of discrete samples with an arbitrary given probability density function and a specified spectral content. The method relies on initially transforming a white noise sample set of random Gaussian distributed numbers into a corresponding set with the desired spectral distribution, after which this colored Gaussian probability distribution is transformed via an inverse transform into the desired probability distribution. In contrast to previous work, where the analyses were limited to auto regressive and or iterative techniques to obtain satisfactory results, we find that a single application of the inverse transform method yields satisfactory results for a wide class of arbitrary probability distributions. Although a single application of the inverse transform technique does not conserve the power spectra exactly, it yields highly accurate numerical results for a wide range of probability distributions and target power spectra that are sufficient for system simulation purposes and can thus be regarded as an accurate engineering approximation, which can be used for wide range of practical applications. A sufficiency condition is presented regarding the range of parameter values where a single application of the inverse transform method yields satisfactory agreement between the simulated and target power spectra, and a series of examples relevant for the optics community are presented and discussed. Outside this parameter range the agreement gracefully degrades but does not distort in shape. Although we demonstrate the method here focusing on stationary random processes, we see no reason why the method could not be extended to simulate non-stationary random processes.

DOI: 10.1364/JOSAA.28.000675

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Cite this paper

@article{Yura2011DigitalSO, title={Digital simulation of an arbitrary stationary stochastic process by spectral representation.}, author={Harold T. Yura and Steen Gr{\"{u}ner Hanson}, journal={Journal of the Optical Society of America. A, Optics, image science, and vision}, year={2011}, volume={28 4}, pages={675-85} }