一个产生满足指定分布和相关的随机序列发生器

A Generator of Random Sequence with Given Distribution and Correlation

本文提出了一种产生满足指定分布和相关的随机序列的方法。在文中,既对这一方法在理论上作了分析,同时也给出若干实验结果。整个方法的关键在于寻找一个能使对分布的控制和对相关的控制得以分离的随机序列发生器的结构。我们所使用的序列发生器具有如下结构: 其中:G是一个正态随机数发生器,因此{u_n}是相互独立的正态随机变量序列。υ_n=sum from i=1 to p(α_i v_(n-i)+b_0u_n),其中{α_i}_1~p和b_0是待定参量。x_n=h(v_n),其中h(·)是待定的实函数。基本思想是: 1.选择h(·),使它满足对分布的要求; 2.选择{α_i}_1~p和b_0,使它满足对相关的要求。

A method is presented to generate the random sequence with given distribution and correlation. Both theoretic analysis and experimental results are included.The key is to find a structure of generator which can separate the control of the distribution from the control of the correlation:Where G is a normal random number generator. v_n=sum from i=1 to P a_i·v_(n-i)+b_0·u_n, where {a_i}_1~P and b_0 are parameters to be determinded. x_n=H(v_n), where H(·) is a real function to be determined.