Method of generating realizations of random sequence with the specified characteristics based on nonlinear canonical decomposition

Abstract

An important scientific and technical problem of forming the method of generating realizations of random sequences for arbitrary number of sampling points and the order of nonlinear stochastic links has been considered. The proposed method of generation, as well as the nonlinear canonical decomposition technique, on the basis of which the method is obtained, do not impose any essential limitations on the class of the studied random sequences (linearity, Markovian property, stationarity, monotony etc.). An approach for determination of optimal parameters of nonlinear canonical model: The number of sampling points, order of stochastic links, modeling interval, is offered. The block diagrams of the algorithms of the obtained method functioning are presented. The results of numeral experiment on computer have confirmed the high efficiency of the developed method of generation.