Correlated Uniform Random Variables Produced by a Diffusion Model
Luoquan Hu · 2008
Correlated uniform random variables(URVs) play an important role in simulation of communication and radar systems.The stationary distribution of Markov diffusion model described by a stochastic differential equation(SDE) is used to obtain drift and diffusion coefficients.The approximate probability density function(pdf) model of URVs is used to generate URVs.The method can avoid the drawbacks when the drift coefficient becomes meaningless in taking logarithm of zero.Correlated URVs are obtained in simulation.Their characteristics are discussed in detail.