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Comparison of methods for the simulation of a Gaussian white noise. (Comparaison des méthodes de simulation d’un bruit blanc gaussien.) (French) Zbl 0972.65501

Summary: We present a theoretical and practical study of the autocovariance function of a Gaussian white noise simulated by the inversion method, the Box-Muller method and normal approximation. We show that the inversion method does not generate a Gaussian process and that the normal approximation is the most efficient.

MSC:

65C99 Probabilistic methods, stochastic differential equations
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