Method for generating two coupled Gaussian stochastic processes
Probability
2016-02-16 v1 Statistical Mechanics
Computational Physics
Data Analysis, Statistics and Probability
Abstract
Most processes in nature are coupled; however, extensive null models for generating such processes still lacks. We present a new method to generate two coupled Gaussian stochastic processes with arbitrary correlation functions. This method is developed by modifying the Fourier filtering method. The robustness of this method is proved by generating two coupled fractional Brownian motions and extending its range of application to Gaussian random fields.
Keywords
Cite
@article{arxiv.1602.04697,
title = {Method for generating two coupled Gaussian stochastic processes},
author = {Tayeb Jamali and G. R. Jafari},
journal= {arXiv preprint arXiv:1602.04697},
year = {2016}
}