Some simulation results as to weakly correlated processes

J. vom Scheidt and B. Fellenberg

Mathematics and Computers in Simulation (MATCOM), 1987, vol. 29, issue 3, 191-208

Abstract: The investigation of linear functionals of weakly correlated processes which arise e.g. from the solutions of random differential equation problems are dealt with. A brief survey of the theory of weakly correlated processes is given, and especially, approximations of moments and distributions of these functionals are deduced which depend on the correlation length. Furthermore, functions of such functionals are considered.

Date: 1987
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:29:y:1987:i:3:p:191-208

DOI: 10.1016/0378-4754(87)90130-3

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