The transition and autocorrelation structure of TES processes

The transition and autocorrelation structure of TES processes

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Article ID: iaor19931626
Country: United States
Volume: 8
Start Page Number: 499
End Page Number: 527
Publication Date: Jun 1992
Journal: Stochastic Models
Authors: ,
Keywords: markov processes
Abstract:

TES (Transform-Expand-Sample) is a versatile class of stochastic sequences which can capture arbitrary marginals and a wide variety of sample path behavior and autocorrelation functions. In TES, the initial variate is uniform on [0,1) and the next variate is obtained recursively by taking the fractional part (i.e., modulo-1 reduction) of a linear autoregressive scheme. The uniform TES variates can then be further transformed to have arbitrary marginals. A companion paper (Part I) presented the general theory of TES processes. This paper (Part II) contains various examples which demonstrate the efficacy of the TES paradigm by comparing numerical and simultion-based calculations for a variety of TES autocorrelation functions. The results have applications to the modeling of autocorrelated sequences, particularly in a Monte Carlo simulation context.

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