Timeline for Problem with a Long Range Correlated Time Series
Current License: CC BY-SA 2.5
2 events
| when toggle format | what | by | license | comment | |
|---|---|---|---|---|---|
| Apr 6, 2010 at 12:26 | comment | added | jonalm | Thank you for the input. I can generate a sequence like this by writing the N binary variates as $X_n=\mathbb{I}_{0}({Z_n})$, where $\mathbb{I}_{A}(b)=0$ if $b\in A$ and 1 else, and where $Z_n$ is a sum of a set of $N(N+1)/2$ Poisson variables. The algorithm is explained in detail in: "A simple method for Generating Correlated Binary Variates" (jstor.org.stable/2684925). Writing the whole expression in terms of Poisson variables is very messy, so I was hoping to utilize the structure of the covariance function directly to calculate the distribution I'm interested in. | |
| Apr 6, 2010 at 6:18 | history | answered | passing by | CC BY-SA 2.5 |