[Scilab-users] needed: SciLab routine for generating Weibull random variables with prior given autocorrelation

[Stéphane Mottelet]

Le 03/05/2018 à 15:49, Heinz Nabielek a écrit :
> Many thanks. <https://antispam.utc.fr/proxy/2/c3RlcGhhbmUubW90dGVsZXRAdXRjLmZy/en.wikipedia.org/wiki/Autoregressive_model#Example:_An_AR(1)_process> works fine on an originating normal distribution [where i would not need it, because we have grand(n, "mn", Mean, Cov) in SciLab].
grand(n, "mn", Mean, Cov) allows to generate realizations of a 
multi-normal variable, i.e. covariance matrix describes the covariance 
between each component  of the (vector) variable.

AR processes are different stuff (random process <> random variable). 
For an AR process the non-idependance is w.r.t. to time (discrete or 
continuous)

Your wind data is a random process.
> With an initiating U(-0.5, 0,5), however, I get a triangle function, but not a autocorrelated uniform random distribution.
what do you mean by " autocorrelated uniform random distribution" ? Here 
your triangle is just the distribution of a sum of two uniform vraiables.

S.
> What to do?
> Heinz
>
>
>
>
>> On 03.05.2018, at 11:37, Stéphane Mottelet <stephane.mottelet at utc.fr> wrote:
>>
>> Why don't start with a simple autoregressive process ? See e.g.
>>
>> https://antispam.utc.fr/proxy/2/c3RlcGhhbmUubW90dGVsZXRAdXRjLmZy/en.wikipedia.org/wiki/Autoregressive_model
>>
>>
>> Le 03/05/2018 à 11:15, Heinz Nabielek a écrit :
>>> Uniform U(0,1) random deviates with given autocorrelation would be good enough…...
>>>
>>>
>>>> On 03.05.2018, at 10:57, Heinz Nabielek <heinznabielek at me.com> wrote:
>>>>
>>>> Friends:
>>>>
>>>> urgently needed: a SciLab routine for generating Weibull random variables with prior given autocorrelation.
>>>>
>>>> Uncorrelated is easy with
>>>> vc*((-log(grand(1,5,"def"))).^(1/m)) producing
>>>> 0.9666848   1.4646143   10.402793   5.9513675   3.3241823
>>>> with characteristic velocity vc=7 and modulus m=2.
>>>>
>>>> But I need Weibull deviates with given autocorrelation, say rho=0.80
>>>>
>>>> Literature has dozen of references on the subject which either do not work or I do not know how to code.
>>>>
>>>> Any help here?
>>>> Heinz
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