• Corpus ID: 250072425

Random Processes With Power Law Spectral Density

@inproceedings{Kimberk2022RandomPW,
  title={Random Processes With Power Law Spectral Density},
  author={Robert S. Kimberk and Keara Carter and Todd Hunter Smithsonian Astrophysical Observatory and National Radio Astronomy Observatory},
  year={2022}
}
. A statistical model of discrete finite length random processes with negative power law spectral densities is presented. The definition of terms is followed by a description of the spectral density trend. An algorithmic construction of random process, and a short block of computer code is given to implement the construction of the random process. The relationship between the second order properties of the random processes and the parameters of the construction is developed and demonstrated. The… 

Figures and Tables from this paper

References

SHOWING 1-10 OF 11 REFERENCES

Introduction to Statistical Time Series.

Moving Average and Autoregressive Processes. Introduction to Fourier Analysis. Spectral Theory and Filtering. Some Large Sample Theory. Estimation of the Mean and Autocorrelations. The Periodogram,

A Suggested Statistical Model of some Time Series which occur in Nature

THE following is an amplification and extension of some work which was described in a general way at a symposium of the Research Section of the Royal Statistical Society on Storage Problems on March

Relative efficiency of count of sign changes for assessing residual autoregression in least squares regression

SUMMARY From a constructed example of 100 random samples of size 40, in conjunction with the author's ACV method for comparing the relative efficiency of different tests of significance, it is found

Flicker noises in astronomy and elsewhere.

Theory of Probability

A Study in the Analysis of Stationary Time-Series.

Random processes with specified spectral density and first-order probability density

  • M. Sondhi
  • Mathematics, Computer Science
    The Bell System Technical Journal
  • 1983
TLDR
By simulation, the possibility of generating a process with a specified spectral density and a specified first-order probability distribution by passing a Gaussian process with anappropriately chosen spectral density through an appropriately chosen zero-memory nonlinearity is explored.

On the Sample Mean and Variance of a Long Memory Process.

Abstract : Some properties of the sample mean and sample variance of a long memory process are described. It is shown that for a particular class of long memory process the asymptotic relative

Smithsonian Astrophysical Observatory Email address: rkimberk@cfa

    Introduction to Statistical Time Series, John Wiley and Sons, page

    • 1976