Representation and generation of non-gaussian wide-sense stationary random processes with arbitrary psds and a class of PDFs
Document Type
Article
Date of Original Version
7-1-2010
Abstract
A new method for representing and generating realizations of a wide-sense stationary non-Gaussian random process is described. The representation allows one to independently specify the power spectral density and the first-order probability density function of the random process. The only proviso is that the probability density function must be symmetric and infinitely divisible. The method proposed models the sinusoidal component frequencies as random variables, a key departure from the usual representation a of wide-sense stationary random process by the spectral theorem. Ergodicity in the mean and autocorrelation is also proven, under certain conditions. An example is given to illustrate its application to the K distribution, which is important in many physical modeling problems in radar and sonar. © 2010 IEEE.
Publication Title, e.g., Journal
IEEE Transactions on Signal Processing
Volume
58
Issue
7
Citation/Publisher Attribution
Kay, Steven. "Representation and generation of non-gaussian wide-sense stationary random processes with arbitrary psds and a class of PDFs." IEEE Transactions on Signal Processing 58, 7 (2010): 3448-3458. doi: 10.1109/TSP.2010.2046437.