Synthesis of multivariate stationary series with prescribed marginal distributions and covariance using circulant matrix embedding.
Hannes HelgasonVladas PipirasPatrice AbryPublished in: Signal Process. (2011)
Keyphrases
- marginal distributions
- dependence structure
- joint distribution
- probability distribution
- random variables
- non stationary
- random fields
- wavelet coefficients
- multivariate gaussian distribution
- linear combination
- condition number
- covariance matrix
- gaussian distribution
- least squares
- maximum entropy
- correlation matrix
- graphical models
- domain specific
- hidden markov models
- text mining
- small number
- contingency tables
- knn