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Generation of a sampled Gaussian time series having a specified correlation function

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1 Author(s)

A computationally convenient method is presented for simulating a sequence of sampled values of a stationary Gaussian process having a specified correlation function or power spectrum. Z -transform theory is applied to provide a simple recursive formula for generating the values from a set of independent Gaussian random variables.

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IRE Transactions on Information Theory  (Volume:6 ,  Issue: 5 )