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

[Heinz Nabielek]

thanks. 

but still: how construct autocorrelated uniform randoms?

Sent from Heinz Nabielek

> On 03 May 2018, at 17:40, Stéphane Mottelet <stephane.mottelet at utc.fr> wrote:
> 
>> 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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