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EnglishMany simulations of stochastic processes require colored noises: I describe here an exact numerical method to simulate power-law noises: the method can be extended to more general colored noises, and is exact for all time steps, even when they are unevenly spaced [as may often happen for astronomical data; see, e.g., N. R. Lomb Astrophys. Space Sci. 39 447 (1976)]. The algorithm has a well-behaved computational complexity, it produces a nearly perfect Gaussian noise, and its computational efficiency depends on the required degree of noise Gaussianity.
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http://hdl.handle.net/11368/1696525| Titolo: | Exact numerical simulation of power-law noises |
| Autori interni: | MILOTTI, EDOARDO |
| Data di pubblicazione: | 2005 |
| Rivista: | PHYSICAL REVIEW E, STATISTICAL, NONLINEAR, AND SOFT MATTER PHYSICS |
| Abstract: | Many simulations of stochastic processes require colored noises: I describe here an exact numerical method to simulate power-law noises: the method can be extended to more general colored noises, and is exact for all time steps, even when they are unevenly spaced [as may often happen for astronomical data; see, e.g., N. R. Lomb Astrophys. Space Sci. 39 447 (1976)]. The algorithm has a well-behaved computational complexity, it produces a nearly perfect Gaussian noise, and its computational efficiency depends on the required degree of noise Gaussianity. |
| Handle: | http://hdl.handle.net/11368/1696525 |
| Digital Object Identifier (DOI): | 10.1103/PhysRevE.72.056701 |
| URL: | http://pre.aps.org/abstract/PRE/v72/i5/e056701 |
| Appare nelle tipologie: | 1.1 Articolo in Rivista |
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