The simulation of stationary time-series (discrete-time random process) with a specific autocorrelation function (ACF) and continuous probability distribution.
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Feb 4, 2024 - Python
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autocovariance
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Gives analytic formulas to calculate autocovariance matrix and autocorrelation matrix for averaged Wiener process with equal-distance time points. Is supplemented with Python numpy code to verify those formulas with a Monte Carlo simulation.
variance autocorrelation wiener-process autocovariance averaged-wiener-process autocovariance-matrix autocorrelation-matrix
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Apr 23, 2021 - HTML
Hand-made MATLAB Functions Mainly for Time Series Analysis
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Dec 31, 2020 - MATLAB
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