广义高斯分布随机变量的仿真

The simulation of the generalized Gaussian distribution random sequence

具有指定分布的随机序列的计算机仿真算法主要有 3种 ,文中在概述了 3种仿真算法的基础上 ,使用最近提出的第三种方法 ,即SDE法 ,讨论了产生具有指定概率分布的生成 .理论和仿真结果表明该算法产生广义高斯随机序列十分简单和有效 .

There are three main kinds of computer simulation algorithms for the generation of corelated non-Gaussian random sequence with a given probability density function (pdf). In this paper, we outline these algorithms. Based on the third algorithm (SDE) presented lately, we discuss the generation of the generalized Gaussian distribution which is the generalization of the Gaussian distribution and Laplacian distribution. Theoretical and simulated results show that this algorithm is very simple and effective.