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SIGPRO
2011
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13 years 2 months ago
Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embeddi
The problem of synthesizing multivariate stationary series Y [n] = (Y1[n], . . . , YP [n])T , n ∈ Z, with prescribed non-Gaussian marginal distributions, and a targeted covarian...
Hannes Helgason, Vladas Pipiras, Patrice Abry