Generation of a random sequence having a jointly specified marginal distribution and autocovariance

Abstract

We consider the problem of generating a random sequence with a specified marginal distribution and autocovariance. The proposed scheme for generating such a sequence consists of a white Gaussian noise source input to a linear digital filter followed by a zero-memory nonlinearity (ZMNL). The ZMNL is chosen so that the desired distribution is exactly realized and the digital filter is designed so that the desired autocovariance is closely approximated. Both analytic results and examples are included. The proposed scheme should prove useful in simulations involving non-Gaussian processes.