GitHub topics: autocovariance
bykhov/generate_corr_sequence
The simulation of stationary time-series (discrete-time random process) with a specific autocorrelation function (ACF) and continuous probability distribution.
Language: Python - Size: 14.1 MB - Last synced at: 7 days ago - Pushed at: over 1 year ago - Stars: 21 - Forks: 0
ipgmvq/averaged_wiener_process_autocorrelation_autocovariance
Gives analytic formulas to calculate autocovariance matrix and autocorrelation matrix for averaged Wiener process with equal-distance time points. Is supplemented with Python numpy code to verify those formulas with a Monte Carlo simulation.
Language: HTML - Size: 486 KB - Last synced at: about 2 years ago - Pushed at: about 4 years ago - Stars: 0 - Forks: 0
