ON SIMULATION OF A GAUSSIAN STATIONARY PROCESS

T. C. Sun and Milton Chaika

Journal of Time Series Analysis, 1997, vol. 18, issue 1, 79-93

Abstract: In this paper we study the convergence of a simulated Gaussian stationary process to the actual process. First we propose a method of simulation of a Gaussian stationary process for a given spectral density function. We prove that the sample functions of this simulated process converge to those of the actual process uniformly on any finite time interval and obtain the convergence rate. We also discuss this method and compare it with the most often used simulation method first proposed by Rice. Our simulation results show that the Rice method simulates just as well as the method studied in this paper.

Date: 1997
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