anuscripts in Review Generation of NonGausslan Processes with Exponential Correlation
V. Lyandres, S. Primak, Chinghui J. Ying, Lee C. Potter · 1995
The generation of a stationary random process with an exactly exponential correlation function is considered as an inverse problem in which one must find a stochastic differential equation (SDE) whose solution has a given probability density function (PDP of the solution. Synthesis of the corresponding generating SDE is derived. The results remove the known Pearson restrictions and extend the range of such processes to arbitrary PDF.