Brownian Bridge Approach for Generating Correlated Time Series and its Applications
Hongbo Zhu · Signal Processing · 2007
In simulation of wireless channels,correlated time series with special statistical characteristics and correlation are nee-ded.Correlated time series are generated by Brownian bridge process according to the propagation properties of electromagnetic wave. Basic random variables are constructed from these time series,which are very useful for modeling wireless channels with correlated scat-tering.The correlation characteristics of time series are analyzed.The simulation results demonstrate that correlated characteristics of the time series can be adjusted through changing the variance of Brownian motion.The statistical characteristics of basic random variables constructed from free Brownian bridge process and bounded Brownian bridge precess are investigated from the numerical simulation,re-spectively.The statistical characteristics of the latter are correlated tightly with bounded condition ;and there are apparently locally favor-able peaks in probability density function with lower reflections.