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Some simulation results as to weakly correlated processes

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  • vom Scheidt, J.
  • Fellenberg, B.

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.

Suggested Citation

  • vom Scheidt, J. & Fellenberg, B., 1987. "Some simulation results as to weakly correlated processes," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 29(3), pages 191-208.
    • Handle: RePEc:eee:matcom:v:29:y:1987:i:3:p:191-208
    DOI: 10.1016/0378-4754(87)90130-3
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    Cited by:

    1. Drescher, G. & Fellenberg, B., 1992. "Simulation of weakly correlated fields with an application to vehicle dynamics," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 34(5), pages 397-409.

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